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Currency option pricing : mean reversion and multi-scale stochastic volatility
Wong, Hoi Ying; Zhao, Jing - In: The journal of futures markets 30 (2010) 10, pp. 938-956
Persistent link: https://www.econbiz.de/10008900932
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Computation of volatility in stochastic volatility models with high frequency data
Barucci, Emilio; Mancino, Maria Elvira - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 767-787
Persistent link: https://www.econbiz.de/10008904328
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Pricing and hedging barrier options in a hyper-exponential additive model
Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681
Persistent link: https://www.econbiz.de/10008904332
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Credit risk and incomplete information : filtering and EM parameter estimation
Fontana, Claudio; Runggaldier, Wolfgang J. - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 683-715
Persistent link: https://www.econbiz.de/10008904347
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Regime-switching recombining tree for option pricing
Liu, Rui Hua - In: International journal of theoretical and applied finance 13 (2010) 3, pp. 479-499
Persistent link: https://www.econbiz.de/10008904355
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Notes on exact and semi-exact Lévy models for the valuation of CDOs
Eichler, Andreas; Leobacher, Gunther; Zellinger, Heidrun - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 979-1000
Persistent link: https://www.econbiz.de/10008905093
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Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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Asymptotic analysis for foreign exchange derivatives with stochastic volatility
Cuthbertson, Charles; Pavliotis, Grigorios; Rafailidis, … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1131-1147
Persistent link: https://www.econbiz.de/10008906191
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Credit risk premia and quadratic BSDEs with a single jump
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; … - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1103-1129
Persistent link: https://www.econbiz.de/10008906200