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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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2
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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3
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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4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
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