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Search: subject:"Multi-factor stochastic volatility"
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Option pricing theory
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multi-factor stochastic volatility model with displacement
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European journal of operational research : EJOR
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Journal of banking & finance
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ECONIS (ZBW)
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Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems
Ladkau, Marcel
-
2015
Persistent link: https://www.econbiz.de/10012385011
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2
From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz
;
Tavin, Bertrand
- In:
Journal of banking & finance
95
(
2018
),
pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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3
Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng
;
Chung, Shing Fung
;
Wong, Hoi Ying
- In:
European journal of operational research : EJOR
245
(
2015
)
2
,
pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
Saved in:
4
A smooth estimator for MC/QMC methods in finance
Han, Chuan-Hsiang
;
Lai, Yongzeng
- In:
Mathematics and Computers in Simulation (MATCOM)
81
(
2010
)
3
,
pp. 536-550
efficiency. In examples of estimating European option prices under
multi-factor
stochastic
volatility
models, randomized QMC …
Persistent link: https://www.econbiz.de/10010750228
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