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Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model
Mišura, Julija S.; Yurchenko-Tytarenko, Anton - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-36
Persistent link: https://www.econbiz.de/10012496732
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Pricing derivatives with fractional volatility
Funahashi, Hideharu - In: International journal of financial engineering 4 (2017) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
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An empirical study on using Hurst exponent estimation methods for pricing Call options by fractional Black-Scholes model
Kilianová, Soňa; Letko, Boris - In: Risk and decision analysis 7 (2018) 1/2, pp. 51-62
Persistent link: https://www.econbiz.de/10011945645
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On VIX futures in the rough Bergomi model
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor - In: Quantitative finance 18 (2018) 1, pp. 45-61
Persistent link: https://www.econbiz.de/10011905829
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Volatility is rough
Gatheral, Jim; Jaisson, Thibault; Rosenbaum, Mathieu - In: Quantitative finance 18 (2018) 6, pp. 933-949
Persistent link: https://www.econbiz.de/10011910932
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Financial markets with no riskless (safe) asset
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
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Fractional Black-Scholes option pricing, volatility calibration and implied Hurst exponents in South African context
Flint, Emlyn; Maré, E. - In: South African journal of economic and management sciences 20 (2017) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10011773296
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Implied roughness in the term structure of oil market volatility
Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363
Persistent link: https://www.econbiz.de/10014552013
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Multivariate claim processes with rough intensities : properties and estimation
Hainaut, Donatien - In: Insurance / Mathematics & economics 107 (2022), pp. 269-287
Persistent link: https://www.econbiz.de/10013471245