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Variation and share-weighted variation swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger - In: Finance and stochastics 17 (2013) 4, pp. 685-716
Persistent link: https://www.econbiz.de/10010190886
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Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa; Shiraya, Kenichiro - In: Finance and stochastics 23 (2019) 2, pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Minimal realizations of interest rate models
Björk, Tomas; Gombani, Andrea - In: Finance and stochastics 3 (1999) 4, pp. 413-432
Persistent link: https://www.econbiz.de/10001412162
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Smart expansion and fast calibration for jump diffusions
Benhamou, Eric; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-589
Persistent link: https://www.econbiz.de/10003899530
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A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa - In: Finance and stochastics 16 (2012) 3, pp. 403-422
Persistent link: https://www.econbiz.de/10009562316
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Tangent Lévy market models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 16 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009423250
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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