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The large-maturity smile for the Heston model
Forde, Martin; Jacquier, Antoine - In: Finance and stochastics 15 (2011) 4, pp. 755-781
Persistent link: https://www.econbiz.de/10009805451
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A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-785
Persistent link: https://www.econbiz.de/10009805452
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Correction note for ‘The large-maturity smile for the Heston model’
Bernard, Carole; Cui, Zhenyu; Forde, Martin; Jacquier, … - In: Finance and stochastics 17 (2012) 1, pp. 223-224
Persistent link: https://www.econbiz.de/10010057625
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A note on essential smoothness in the Heston model
Forde, Martin; Jacquier, Antoine; Mijatović, Aleksandar - In: Finance and stochastics 15 (2011) 4, pp. 781-784
Persistent link: https://www.econbiz.de/10009423265
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The large-maturity smile for the Heston model
Forde, Martin; Jacquier, Antoine - In: Finance and stochastics 15 (2011) 4, pp. 755-780
Persistent link: https://www.econbiz.de/10009423267
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Functional central limit theorems for rough volatility
Horvath, Blanka Nora; Jacquier, Antoine; Muguruza, Aitor; … - In: Finance and stochastics 28 (2024) 3, pp. 615-661
Persistent link: https://www.econbiz.de/10015130353
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Zero-intelligence realized variance estimation
Gatheral, Jim; Oomen, Roel C. A. - In: Finance and stochastics 14 (2010) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10003951508
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Affine forward variance models
Gatheral, Jim; Keller-Ressel, Martin - In: Finance and stochastics 23 (2019) 3, pp. 501-533
Persistent link: https://www.econbiz.de/10012023754