Narrow search
Showing 1 - 10 of 334
Cover Image
Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
Cover Image
Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
Cover Image
A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin - In: Quantitative finance 19 (2019) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
Cover Image
Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian; Friz, Peter K.; Gulisashvili, Archil; … - In: Quantitative finance 19 (2019) 5, pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Cover Image
Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
Cover Image
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
Cover Image
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro; Yamamoto, Kenta - In: Quantitative finance 20 (2020) 11, pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
Cover Image
Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
Cover Image
A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang; Zhu, Song-Ping - In: Quantitative finance 20 (2020) 6, pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
Cover Image
A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
Persistent link: https://www.econbiz.de/10012194873