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~isPartOf:"International journal of theoretical and applied finance"
~person:"Gatheral, Jim"
~person:"Levendorskij, Sergej Z."
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Gatheral, Jim
Levendorskij, Sergej Z.
Benth, Fred Espen
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International journal of theoretical and applied finance
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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ECONIS (ZBW)
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1
Rational approximation of the rough Heston solution
Gatheral, Jim
;
Radoičić, Radoš
- In:
International journal of theoretical and applied finance
22
(
2019
)
3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012019824
Saved in:
2
Tighter bounds for implied volatility
Gatheral, Jim
;
Matić, Ivan
;
Radoičić, Radoš
; …
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011733970
Saved in:
3
Efficient pricing and reliable calibration in the Heston model
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-44
Persistent link: https://www.econbiz.de/10009685887
Saved in:
4
The heat-kernel most-likely-path approximation
Gatheral, Jim
;
Wang, Tai-Ho
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10009541999
Saved in:
5
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya
;
Innocentis, Marco de
;
Levendorskij, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Saved in:
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