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Stochastic Processes and their Applications
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Weak approximations and VIX option price expansions in forward variance curve models
Bourgey, F.
;
De Marco, Stefano
;
Gobet, Emmanuel
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1259-1283
Persistent link: https://www.econbiz.de/10014339914
Saved in:
2
Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
Echenim, Mnacho
;
Gobet, Emmanuel
;
Maurice, Anne-Claire
- In:
Quantitative finance
23
(
2023
)
9
,
pp. 1285-1304
Persistent link: https://www.econbiz.de/10014339922
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