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Estimating the fractal dimension of the S&P 500 index using wavelet analysis
Bayraktar, Erhan; Poor, H.Vincent; Sircar, Kaushik Ronnie - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 615-643
Persistent link: https://www.econbiz.de/10002171489
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Mean-reverting stochastic volatility
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 3 (2000) 1, pp. 101-142
Persistent link: https://www.econbiz.de/10001488358
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From the implied volatility skew to a robust correction to Black-Scholes American option prices
Fouque, Jean-Pierre; Papanicolaou, George; Sircar, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 651-675
Persistent link: https://www.econbiz.de/10001600370
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Arbitrage in fractal modulated black-scholes models when the volatility is stochastic
Bayraktar, Erhan; Poor, H. Vincent - In: International journal of theoretical and applied finance 8 (2005) 3, pp. 283-300
Persistent link: https://www.econbiz.de/10002893223
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Projecting the forward rate flow onto a finite dimensional manifold
Bayraktar, Erhan; Chen, Li; Poor, H. Vincent - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 777-785
Persistent link: https://www.econbiz.de/10003379033
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Super-hedging American options with semi-static trading strategies under model uncertainty
Bayraktar, Erhan; Zhou, Zhou - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-10
Persistent link: https://www.econbiz.de/10011734088