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Pricing composite and quanto derivatives under stochastic correlation and stochastic volatility
Romo, Jacinto Marabel - In: The journal of derivatives : the official publication … 21 (2014) 4, pp. 82-102
Persistent link: https://www.econbiz.de/10010387679
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The quanto adjustment and the smile
Romo, Jacinto Marabel - In: The journal of futures markets 32 (2012) 9, pp. 877-908
Persistent link: https://www.econbiz.de/10009612629
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Worst-of options and correlation skew under a stochastic correlation framework
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-32
Persistent link: https://www.econbiz.de/10009685884
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Pricing digital outperformance options with uncertain correlation
Romo, Jacinto Marabel - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 709-722
Persistent link: https://www.econbiz.de/10009298474
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Stochastic skew and target volatility options
Grasselli, Martino; Romo, Jacinto Marabel - In: The journal of futures markets 36 (2016) 2, pp. 174-193
Persistent link: https://www.econbiz.de/10011568064
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Volatility regimes for the VIX index
Marabel Romo, Jacinto - In: Revista de economía aplicada : publicación cuatrimestral 20 (2012) 59, pp. 111-134
Persistent link: https://www.econbiz.de/10009712739
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Pricing forward skew dependent derivatives : multifactor versus single-factor stochastic volatility models
Marabel Romo, Jacinto - In: The journal of futures markets 34 (2014) 2, pp. 124-144
Persistent link: https://www.econbiz.de/10010255495
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Pricing volatility options under stochastic skew with application to the VIX index
Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374
Persistent link: https://www.econbiz.de/10011736265