//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Working papers / Universitat Pompeu Fabra, Department of Economics and Business"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
A note on the Malliavin differ...
Similar by person
Narrow search
Delete all filters
| 1 applied filter
Year of publication
From:
To:
Subject
All
Option pricing theory
10
Optionspreistheorie
10
Stochastic process
8
Stochastischer Prozess
8
Volatility
7
Volatilität
7
Black-Scholes model
2
Black-Scholes-Modell
2
Experiment
2
Derivat
1
Derivative
1
Forward starting options
1
Malliavin calculus
1
Markov chain
1
Markov-Kette
1
Option trading
1
Optionsgeschäft
1
Theorie
1
Theory
1
implied volatility
1
stochastic volatility models
1
more ...
less ...
Online availability
All
Free
8
Type of publication
All
Book / Working Paper
11
Type of publication (narrower categories)
All
Arbeitspapier
11
Working Paper
11
Graue Literatur
10
Non-commercial literature
10
Language
All
English
11
Author
All
Alòs, Elisa
11
León, Jorge A.
5
Vives, Josep
3
Jacquier, Antoine
1
Pontier, Monique
1
Rheinländer, Thorsten
1
Santiago, Rafael de
1
Yang, Yan
1
more ...
less ...
Institution
All
Universitat Pompeu Fabra / Departament d'Economia i Empresa
2
Published in...
All
Working papers / Universitat Pompeu Fabra, Department of Economics and Business
Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
1,478
Working Papers, Research Center on Health and Economics
56
Finance and stochastics
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
3
Finance and Stochastics
3
International journal of theoretical and applied finance
2
Quantitative finance
2
Stochastic Processes and their Applications
2
Swiss Finance Institute Research Paper Series
2
Applied mathematical finance
1
Barcelona GSE working paper series : working paper
1
CARF working paper
1
Chapman & Hall/CRC financial mathematics series
1
Chapman and Hall/CRC financial mathematics series
1
Energy economics
1
Mathematical Finance
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
more ...
less ...
Source
All
ECONIS (ZBW)
11
Showing
1
-
10
of
11
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002111661
Saved in:
2
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
3
A general decomposition formula for derivative prices in stochastic volatility models
Alòs, Elisa
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747474
Saved in:
4
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
5
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa
(
contributor
);
León, Jorge A.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003379784
Saved in:
6
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
7
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
8
On the goodness of fit of Kirk's formula for spread option prices
Alòs, Elisa
;
León, Jorge A.
-
2012
Persistent link: https://www.econbiz.de/10009724304
Saved in:
9
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
10
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->