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~isPartOf:"Quantitative finance"
~subject:"Lévy models"
~subject:"Optionspreistheorie"
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Lévy models
Optionspreistheorie
Heston model
6
Option pricing theory
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Quantitative finance
International journal of theoretical and applied finance
19
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7
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5
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4
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Recent advances in financial engineering 2011: proceedings of the International Workshop on Finance 2011
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The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
)
1
,
pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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2
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
3
Performance measurement for option portfolios in a stochastic volatility framework
Baule, Rainer
;
Entrop, Oliver
;
Wessels, Sebastian
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 519-539
Persistent link: https://www.econbiz.de/10013167776
Saved in:
4
A comparison principle between rough and non-rough Heston models - with applications to the volatility surface
Keller-Ressel, M.
;
Majid, Assad
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 919-933
Persistent link: https://www.econbiz.de/10012262636
Saved in:
5
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
Fouque, Jean-Pierre
;
Saporito, Y. F.
- In:
Quantitative finance
18
(
2018
)
6
,
pp. 1003-1016
Persistent link: https://www.econbiz.de/10011911259
Saved in:
6
Calibration to American options : numerical investigation of the de-Americanization method
Burkovska, O.
;
Gass, M.
;
Glau, Kathrin
;
Mahlstedt, M.
; …
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1091-1113
Persistent link: https://www.econbiz.de/10011911523
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