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type_genre:"Working Paper"
~language:"eng"
~person:"Alòs, Elisa"
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Alòs, Elisa
McAleer, Michael
51
Koopman, Siem Jan
39
Phillips, Peter C. B.
30
Ferrari, Giorgio
29
Platen, Eckhard
29
Chiarella, Carl
24
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22
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19
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15
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14
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Asai, Manabu
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Working papers / Universitat Pompeu Fabra, Department of Economics and Business
8
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ECONIS (ZBW)
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1
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
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:
9
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, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
10
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa
(
contributor
);
León, Jorge A.
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003379784
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