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subject:"Derivat"
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Search: subject_exact:"Stochastic volatility model"
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Derivat
Stochastic volatility
140
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140
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88
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85
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stochastic volatility model
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ECONIS (ZBW)
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1
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
2
Projections of the stochastic discount factor and optimal volatility derivatives
Dyachenko, Artem
-
2019
Persistent link: https://www.econbiz.de/10012416803
Saved in:
3
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
Saved in:
4
Stochastic volatility modeling
Bergomi, Lorenzo
-
2016
Persistent link: https://www.econbiz.de/10011413975
Saved in:
5
First and second order Greeks in the Heston model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806607
Saved in:
6
Fast and accurate long stepping simulation of the Heston stochastic volatility model
Chan, Jiun Hong
;
Joshi, Mark S.
-
2010
Persistent link: https://www.econbiz.de/10008806610
Saved in:
7
SABR and SABR LIBOR market models in practice : with examples implemented in Python
Crispoldi, Christian
;
Wigger, Gérald
;
Larkin, Peter
-
2015
Persistent link: https://www.econbiz.de/10011374239
Saved in:
8
Derivatives pricing on integrated diffusion processes : a general perturbation approach
Li, Minqiang
- In:
The journal of futures markets
35
(
2015
)
6
,
pp. 582-595
Persistent link: https://www.econbiz.de/10011405411
Saved in:
9
New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey
- In:
Review of derivatives research
16
(
2013
)
2
,
pp. 111-134
Persistent link: https://www.econbiz.de/10009774404
Saved in:
10
Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda
;
Moretto, Enrico
;
Pasquali, Sara
; …
- In:
International journal of theoretical and applied finance
13
(
2010
)
6
,
pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
Saved in:
11
Efficient pricing algorithms for exotic derivatives
Lord, Roger
-
2008
Persistent link: https://www.econbiz.de/10003775897
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