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Calibration risk: Illustrating the impact of calibration risk under the Heston model
Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-80
Persistent link: https://www.econbiz.de/10009843786
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Implied liquidity: Model sensitivity
Albrecher, Hansjoerg; Guillaume, Florence; Schoutens, Wim - In: Journal of empirical finance 23 (2013), pp. 48-67
Persistent link: https://www.econbiz.de/10010165910
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The αVG model for multivariate asset pricing: calibration and extension
Guillaume, Florence - In: Review of derivatives research 16 (2013) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10010095374
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A moment matching market implied calibration
Guillaume, Florence; Schoutens, Wim - In: Quantitative finance 13 (2013) 9, pp. 1359-1373
Persistent link: https://www.econbiz.de/10010186149
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Sato two-factor models for multivariate option pricing
Guillaume, Florence - In: The journal of computational finance 15 (2012) 4, pp. 159-159
Persistent link: https://www.econbiz.de/10009993878