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Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type
Nicolato, Elisa; Venardos, Emmanouil - In: Mathematical Finance 13 (2003) 4, pp. 445-466
Persistent link: https://www.econbiz.de/10005655244
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The short-time behavior of VIX-implied volatilities in a multifactor stochastic volatility framework
Barletta, Andrea; Nicolato, Elisa; Pagliarani, Stefano - In: Mathematical Finance 29 (2018) 3, pp. 928-966
Persistent link: https://www.econbiz.de/10012095164