Narrow search
Showing 1 - 3 of 3
Cover Image
Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
Itkin, Andrey - In: Applied mathematical finance 24 (2017) 5/6, pp. 485-519
Persistent link: https://www.econbiz.de/10011815291
Cover Image
Spiking the volatility punch
Carr, Peter; Figà-Talamanca, Gianna - In: Applied mathematical finance 27 (2020) 6, pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
Cover Image
Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559
Persistent link: https://www.econbiz.de/10013411770