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~isPartOf:"Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra"
~institution:"Department of Economics and Business, Universitat Pompeu Fabra"
~person:"Alòs, Elisa"
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Malliavin calculus
4
Heston model
2
Continuous-time option pricing model
1
Cox-Ingersoll-Ross process
1
Heston Model
1
Hull and White formula
1
Ito’s formula for the Skorohod integral
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Itô's Calculus
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Itô's calculus
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Kirk's formula
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Skorohod integral
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Spread options
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Stochastic Volatility
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Stochastic volatility
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derivative operator in the Malliavin calculus sense
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fractional Brownian motion
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jumpdiffusion stochastic volatility models
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stochastic volatility
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stochastic volatility models
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Alòs, Elisa
Kohatsu, Arturo
4
León, Jorge A.
2
Antonelli, Fabio
1
Bermin, Hans Peter
1
Carreras, D. Márquez
1
Corcuera, José Mª
1
Ewald, Christian-Olivier
1
Imkeller, Peter
1
Nualart, David
1
Pontier, Monique
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Solé, M. Sanz
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Vives, Josep
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Yang, Yan
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Department of Economics and Business, Universitat Pompeu Fabra
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Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra
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RePEc
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1
On the closed-form approximation of short-time random strike options
Alòs, Elisa
;
León, Jorge A.
-
Department of Economics and Business, Universitat …
-
2013
short-time options with random strikes. Our method is based on Malliavin
calculus
techniques and allows us to obtain simple …
Persistent link: https://www.econbiz.de/10010660296
Saved in:
2
A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa
;
Yang, Yan
-
Department of Economics and Business, Universitat …
-
2014
increases. Then, by means of classical Itô's
calculus
we decompose option prices as the sum of the classical Black …
Persistent link: https://www.econbiz.de/10010938706
Saved in:
3
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
Department of Economics and Business, Universitat …
-
2009
By means of classical Itô's
calculus
we decompose option prices as the sum of the classical Black-Scholes formula with …
Persistent link: https://www.econbiz.de/10008558986
Saved in:
4
A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
Department of Economics and Business, Universitat …
-
2008
Malliavin
calculus
techniques for Lévy processes based on Løkka (2004), Petrou (2006), and Solé, Utzet and Vives (2007). …
Persistent link: https://www.econbiz.de/10005772513
Saved in:
5
A note on the Malliavin differentiability of the Heston volatility
Alòs, Elisa
;
Ewald, Christian-Olivier
-
Department of Economics and Business, Universitat …
-
2005
an explicit expression for the derivative. This result assures the applicability of Malliavin
calculus
in the framework …
Persistent link: https://www.econbiz.de/10005772060
Saved in:
6
A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa
-
Department of Economics and Business, Universitat …
-
2004
By means of Malliavin
Calculus
we see that the classical Hull and White formula for option pricing can be extended to …
Persistent link: https://www.econbiz.de/10005772311
Saved in:
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