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Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008651727
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Asymptotics of barrier option pricing under the CEV process
Hu, Fannu; Knessl, Charles - In: Applied mathematical finance 17 (2010) 3/4, pp. 261-300
Persistent link: https://www.econbiz.de/10008653258
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Robust approximations for pricing Asian options and volatility swaps under stochastic volatility
Forde, Martin; Jacquier, Antoine - In: Applied mathematical finance 17 (2010) 3/4, pp. 241-259
Persistent link: https://www.econbiz.de/10008653259
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Modeling volatility in foreign currency option pricing
Hoque, Ariful; Chan, Felix; Manzur, Meher - In: Multinational finance journal : MF ; quarterly … 13 (2009) 3/4, pp. 189-208
Persistent link: https://www.econbiz.de/10008654497
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Moments structure of l 1-stochastic volatility models
Neto, David; Sardy, Sylvain - 2009
Persistent link: https://www.econbiz.de/10003926961
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Risk appetite and endogenous risk
Daníelsson, Jón; Zigrand, Jean-Pierre; Shin, Hyun Song - 2010
Persistent link: https://www.econbiz.de/10003934951
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Option valuation with long-run and short-run volatility components
Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297
Persistent link: https://www.econbiz.de/10003833351
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Probabilistic properties of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009
Persistent link: https://www.econbiz.de/10003833954
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Applications of Fourier transform to smile modeling : theory and implementation
Zhu, Jianwei - 2010 - 2., ed.
Persistent link: https://www.econbiz.de/10003834547
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On pricing lookback options under the CEV process
Costabile, Massimo - In: Decisions in economics and finance : DEF ; a journal of … 29 (2006) 2, pp. 139-153
Persistent link: https://www.econbiz.de/10003835677