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Pricing American options in the Heston model : a close look at incorporating correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29
Persistent link: https://www.econbiz.de/10009725351
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Correlation, smile, volatility skew, and systematic risk sensitivity of tranches
Hamerle, Alfred; Igl, Andreas; Plank, Kilian - In: The journal of derivatives : the official publication … 19 (2012) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10009671109
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Is implied correlation worth calculating? : Evidence from foering exchange options
Walter, Christian A.; López, José A. - In: The journal of derivatives : the official publication … 7 (2000) 3, pp. 65-81
Persistent link: https://www.econbiz.de/10001497759
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Pricing and hedging volatility derivatives
Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24
Persistent link: https://www.econbiz.de/10003673338
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A simple approach to pricing American options under the Heston stochastic volatility model
Beliaeva, Natalia A.; Nawalkha, Sanjay K. - In: The journal of derivatives : the official publication … 17 (2009/10) 4, pp. 25-43
Persistent link: https://www.econbiz.de/10003985507
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A forward shooting grid method for option pricing with stochastic volatility
Costabile, Massimo; Massabo, Ivar; Russo, Emilio - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 67-78
Persistent link: https://www.econbiz.de/10009718105
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Stock evolution under stochastic volatility : a discrete approach
Leisen, Dietmar - In: The journal of derivatives : the official publication … 8 (2000) 2, pp. 9-27
Persistent link: https://www.econbiz.de/10001545160
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A stochastic-volatility model for pricing power variants of exchange options
Xia, Weixuan - In: The journal of derivatives : the official publication … 26 (2019) 4, pp. 113-127
Persistent link: https://www.econbiz.de/10012306204
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On pricing Asian options under stochastic volatility
Russo, Emilio; Staino, Alessandro - In: The journal of derivatives : the official publication … 23 (2016) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10011687238
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Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10011687339