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Simple and efficient simulation of the Heston stochastic volatility model
Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42
Persistent link: https://www.econbiz.de/10003699934
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Moment explosions in stochastic volatility models
Andersen, Leif B. G.; Piterbarg, Vladimir V. - In: Finance and stochastics 11 (2007) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10003410634
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Asymptotics for exponential Lévy processes and their volatility smile : survey and new results
Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98
Persistent link: https://www.econbiz.de/10009725096
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Extended Libor market models with stochastic volatility
Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10003191097
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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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General bounds and finite-time improvement for the Kiefer-Wolfowitz stochastic approximation algorithm
Broadie, Mark; Cicek, Deniz; Zeevi, Assaf - In: Operations research 59 (2011) 5, pp. 1211-1224
Persistent link: https://www.econbiz.de/10010217832