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Monotonicity in the volatility of single-barrier option prices

Eriksson, Jonatan - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 987-996

Persistent link: https://www.econbiz.de/10003380317

Thompson, James R.; Bagget, L. Scott; Wojciechowski, … - In: Journal of post-Keynesian economics : JPKE 29 (2006) 1, pp. 3-18

Persistent link: https://www.econbiz.de/10003380340

On estimation of volatility surface and precition of future spot volatility

Klebaner, Fima; Le, Truc; Lipcer, Robert S. - In: Applied mathematical finance 13 (2006) 3, pp. 245-263

Persistent link: https://www.econbiz.de/10003383702

Faster implied volatilities via the implicit function theorem

Kelly, Michael A. - In: The financial review : the official publication of the … 41 (2006) 4, pp. 589-597

Persistent link: https://www.econbiz.de/10003384272

Pricing American options under stochastic volatility and stochastic interest rates

Medvedev, Alexey (contributor); … - 2007

existing methods lies in its straightforward extension to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …