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~person:"Alòs, Elisa"
~person:"Madan, Dilip B."
~person:"Sandmann, Klaus"
~type_genre:"Arbeitspapier"
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Search: subject_exact:"Optionsbewertung"
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Alòs, Elisa
Madan, Dilip B.
Sandmann, Klaus
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ECONIS (ZBW)
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Forward start volatility swaps in rough volatility models
Alòs, Elisa
;
Rolloos, Frido
;
Shiraya, Kenichiro
-
2022
Persistent link: https://www.econbiz.de/10014266236
Saved in:
2
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
3
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
4
On Margrabe options written on stochastic volatility models
Alòs, Elisa
;
Rheinländer, Thorsten
-
2015
Persistent link: https://www.econbiz.de/10011442222
Saved in:
5
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
6
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
2014
Persistent link: https://www.econbiz.de/10010425642
Saved in:
7
Calibration of stochastic volatility models via second order approximation : the Heston model case
Alòs, Elisa
;
Santiago, Rafael de
;
Vives, Josep
-
2012
Persistent link: https://www.econbiz.de/10009724303
Saved in:
8
On the goodness of fit of Kirk's formula for spread option prices
Alòs, Elisa
;
León, Jorge A.
-
2012
Persistent link: https://www.econbiz.de/10009724304
Saved in:
9
Equity-linked pension schemes with guarantees
Aase Nielsen, Jørgen
;
Sandmann, Klaus
;
Schlögl, Erik
-
2010
Persistent link: https://www.econbiz.de/10008662192
Saved in:
10
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
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