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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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Realised volatility and parametric estimation of Heston SDEs
Azencott, Robert; Ren, Peng; Timofeyev, Ilya - In: Finance and stochastics 24 (2020) 3, pp. 723-755
Persistent link: https://www.econbiz.de/10012518091
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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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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Extreme at-the-money skew in a local volatility model
Pigato, Paolo - In: Finance and stochastics 23 (2019) 4, pp. 827-859
Persistent link: https://www.econbiz.de/10012114660
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A link between complete models with stochastic volatility and ARCH models
Jeantheau, Thierry - In: Finance and stochastics 8 (2004) 1, pp. 111-131
Persistent link: https://www.econbiz.de/10001910769
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On the Guyon-Lekeufack volatility model
Nutz, Marcel; Riveros Valdevenito, Andrés - In: Finance and stochastics 28 (2024) 4, pp. 1203-1223
Persistent link: https://www.econbiz.de/10015130570
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Polynomial diffusions and applications in finance
Filipović, Damir; Larsson, Martin - In: Finance and stochastics 20 (2016) 4, pp. 931-972
Persistent link: https://www.econbiz.de/10011570151
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On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
Hefter, Mario; Jentzen, Arnulf - In: Finance and stochastics 23 (2019) 1, pp. 139-172
Persistent link: https://www.econbiz.de/10012023704