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Short-dated smile under rough...
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Showing
1
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10
of
69,382
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date (newest first)
date (oldest first)
1
Short-time asymptotics for non-self-similar stochastic
volatility
models
Giorgio, Giacomo
;
Pacchiarotti, Barbara
;
Pigato, Paolo
- In:
Applied mathematical finance
30
(
2023
)
3
,
pp. 123-152
Persistent link: https://www.econbiz.de/10015051230
Saved in:
2
Short-time near-the-money skew in rough fractional
volatility
models
Bayer, Christian
;
Friz, Peter K.
;
Gulisashvili, Archil
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
Saved in:
3
Conjoint analysis of option and
volatility
models : empirical evidence from recent financial upheavals in India
Singh, Vipul Kumar
- In:
Journal of emerging market finance
14
(
2015
)
3
,
pp. 258-289
Persistent link: https://www.econbiz.de/10011430608
Saved in:
4
A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan
;
Radoičić, Radoš
- In:
International journal of financial engineering
3
(
2016
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
Saved in:
5
The continuous limit of weak GARCH
Alexander, Carol
;
Lazar, Emese
- In:
Econometric reviews
40
(
2021
)
2
,
pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
Saved in:
6
Third-order short-time expansions for close-to-the-money option prices under the CGMY model
Figueroa-López, José E.
;
Gong, Ruoting
;
Houdré, Christian
- In:
Applied mathematical finance
24
(
2017
)
5/6
,
pp. 547-574
Persistent link: https://www.econbiz.de/10011815299
Saved in:
7
A bias in the
volatility
smile
Chance, Don M.
;
Hanson, Thomas A.
;
Li, Weiping
; …
- In:
Review of derivatives research
20
(
2017
)
1
,
pp. 47-90
Persistent link: https://www.econbiz.de/10011930559
Saved in:
8
On the implied
volatility
of Asian options under stochastic
volatility
models
Alòs, Elisa
;
Nualart, Eulalia
;
Pravosud, Makar
- In:
Applied mathematical finance
30
(
2023
)
5
,
pp. 249-274
Persistent link: https://www.econbiz.de/10015051248
Saved in:
9
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael
;
Fadugba, Sunday Emmanuel
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
Saved in:
10
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic
volatility
, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
Saved in:
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