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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 4, pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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A risk-neutral equilibrium leading to uncertain volatility pricing
Muhle-Karbe, Johannes; Nutz, Marcel - In: Finance and stochastics 22 (2018) 2, pp. 281-295
Persistent link: https://www.econbiz.de/10011945712
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Improved robust price bounds for multi-asset derivatives under market-implied dependence information
Ansari, Jonathan; Lütkebohmert, Eva; Neufeld, Ariel; … - In: Finance and stochastics 28 (2024) 4, pp. 911-964
Persistent link: https://www.econbiz.de/10015130470
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Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588
Persistent link: https://www.econbiz.de/10011530043
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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The Jacobi stochastic volatility model
Ackerer, Damien; Filipović, Damir; Pulido, Sergio - In: Finance and stochastics 22 (2018) 3, pp. 667-700
Persistent link: https://www.econbiz.de/10011945894
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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097