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Mathematical Finance
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International journal of theoretical and applied finance
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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
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Robust replication of volatility and hybrid derivatives on jump diffusions
Carr, Peter
;
Lee, Roger
;
Lorig, Matthew
- In:
Mathematical Finance
31
(
2021
)
4
,
pp. 1394-1422
Persistent link: https://www.econbiz.de/10012636235
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