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A generalization of the rational rough Heston approximation
Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 24 (2024) 2, pp. 329-335
Persistent link: https://www.econbiz.de/10014551997
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
Pirjol, Dan; Zhu, Lingjiong - In: Quantitative finance 24 (2024) 3/4, pp. 433-449
Persistent link: https://www.econbiz.de/10014552074
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Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity
Pelagatti, Matteo; Sbrana, Giacomo - In: Quantitative finance 24 (2024) 3/4, pp. 451-464
Persistent link: https://www.econbiz.de/10014552077
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Valuations of variance and volatility swaps under double Heston jump‑diffusion model with approximative fractional stochastic volatility
Wang, Ke; Guo, Xunxiang - In: Computational economics 63 (2024) 4, pp. 1543-1573
Persistent link: https://www.econbiz.de/10014549124