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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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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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Bounds for VIX futures given S&P 500 smiles
Guyon, Julien; Menegaux, Romain; Nutz, Marcel - In: Finance and stochastics 21 (2017) 3, pp. 593-630
Persistent link: https://www.econbiz.de/10011944412
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Local martingales, bubbles and option prices
Cox, Alexander M. G.; Hobson, David G. - In: Finance and stochastics 9 (2005) 4, pp. 477-492
Persistent link: https://www.econbiz.de/10003123202
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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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
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Computing deltas without derivatives
Baños, D.; Meyer-Brandis, T.; Proske, Frank; Duedahl, S. - In: Finance and stochastics 21 (2017) 2, pp. 509-549
Persistent link: https://www.econbiz.de/10011944403
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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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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249