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A note on the implied volatility of floating strike Asian options
Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
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Special issue quantitative developments in financial volatility : theory and practice
Alòs, Elisa (ed.); Mancino, Maria Elvira (ed.);  … - 2019
Persistent link: https://www.econbiz.de/10012127325
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Valuation of barrier options via a general self-duality
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017
Persistent link: https://www.econbiz.de/10011686975
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Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa; Shiraya, Kenichiro - In: Finance and stochastics 23 (2019) 2, pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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Target volatility option pricing in the lognormal fractional SABR model
Alòs, Elisa; Chatterjee, Rupak; Tudor, Sebastian F.; … - In: Quantitative finance 19 (2019) 8, pp. 1339-1356
Persistent link: https://www.econbiz.de/10012194791
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Exponentiation of conditional expectations under stochastic volatility
Alòs, Elisa; Gatheral, Jim; Radoičić, Radoš - In: Quantitative finance 20 (2020) 1, pp. 13-27
Persistent link: https://www.econbiz.de/10012194851
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The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa; Jacquier, Antoine; León, Jorge A. - 2017
Persistent link: https://www.econbiz.de/10011778056
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Malliavin calculus in finance : theory and practice
Alòs, Elisa; Lorite, David Garcia - 2021 - First edition
"Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain...
Persistent link: https://www.econbiz.de/10012423519
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa - In: Finance and Stochastics 16 (2012) 3, pp. 403-422
Persistent link: https://www.econbiz.de/10010997054