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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine; Mijatovi´c, Aleksandar - In: Asia-Pacific financial markets 21 (2014) 3, pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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Asymptotic arbitrage in the Heston model
Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
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The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin; Pogudin, Andrey - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
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Short maturity options for Azéma-Yor martingales
Zhu, Lingjiong - In: International journal of financial engineering 2 (2015) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10011493322
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Asymptotics for volatility derivatives in multi-factor rough volatility models
Lacombe, Chloe; Muguruza, Aitor; Stone, Henry - In: Mathematics and financial economics 15 (2021) 3, pp. 545-577
Persistent link: https://www.econbiz.de/10012586188
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Short maturity conditional Asian options in local volatility models
Yao, Nian; Ling, Zhichao; Zhang, Jieyu; Xiao, Mingqing - In: Mathematics and financial economics 14 (2020) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10012240287
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Black-Scholes in a CEV random environment
Jacquier, Antoine; Roome, Patrick - In: Mathematics and financial economics 12 (2018) 3, pp. 445-474
Persistent link: https://www.econbiz.de/10011963872
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Importance sampling for jump-diffusions via cross-entropy
Rieke, Rebecca; Sun, Weifeng; Wang, Hui - In: The journal of computational finance 22 (2018) 1, pp. 107-130
Persistent link: https://www.econbiz.de/10011890185
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Short maturity forward start Asian options in local volatility models
Pirjol, Dan; Wang, Jing; Zhu, Lingjiong - In: Applied mathematical finance 26 (2019) 3, pp. 187-221
Persistent link: https://www.econbiz.de/10012210271