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~subject:"Kongress"
~subject:"Volatility"
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Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Decisions in economics and finance : a journal of …
44
(
2021
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10012587815
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2
A PDE method for estimation of implied volatility
Matić, Ivan
;
Radoičić, Radoš
;
Stefanica, Dan
- In:
Quantitative finance
20
(
2020
)
3
,
pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
Saved in:
3
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
4
Convex regularization of local volatility estimation
Albani, Vinícius
;
Cezaro, Adriano de
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
20
(
2017
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011686808
Saved in:
5
Pricing vulnerable options with jump clustering
Ma, Yong
;
Shrestha, Keshab
;
Xu, Weidong
- In:
The journal of futures markets
37
(
2017
)
12
,
pp. 1155-1178
Persistent link: https://www.econbiz.de/10011951026
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