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A stochastic processes toolkit for risk management : Geometric Brownian motion, jumps, GARCH and variance gamma models
Brigo, Damiano; Dalessandro, Antonio; Neugebauer, Matthias - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 365-393
Persistent link: https://www.econbiz.de/10003907277
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Exotic option, stochastic volatility and incentive scheme
Tang, J.; Yau, S. S.-T. - In: Computational finance and its applications II : [Second …, (pp. 183-192). 2006
Persistent link: https://www.econbiz.de/10003410142
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Levy processes : theory and financial applications
Raccuglia, Benedetto - 2006
Persistent link: https://www.econbiz.de/10003413591
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Modern logarithms for the Heston model
Fahrner, Ingo - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 23-30
Persistent link: https://www.econbiz.de/10003415501
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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Asymptotic skew under stochastic volatility
Jacquier, Antoine (contributor) - 2007
Persistent link: https://www.econbiz.de/10003408497
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Robust static hedging of barrier options in stochastic volatility models
Maruhn, Jan H.; Sachs, Ekkehard - In: Mathematical methods of operations research 70 (2009) 3, pp. 405-433
Persistent link: https://www.econbiz.de/10003909254
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Small-time asymptotics for implied volitility under the Heston model
Forde, Martin; Jacquier, Antoine - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 861-876
Persistent link: https://www.econbiz.de/10003911247
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Numerical approximation of the implied volatility under arithmetic Brownian motion
Choi, Jaehyuk; Kim, Kwangmoon; Kwak, Minsuk - In: Applied mathematical finance 16 (2009) 3/4, pp. 261-268
Persistent link: https://www.econbiz.de/10003916161
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The evaluation of barrier option prices under stochastic volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - 2010
Persistent link: https://www.econbiz.de/10008662205