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Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case
Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-177
Persistent link: https://www.econbiz.de/10008424177
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New solvable stochastic volatility models for pricing volatility derivatives
Itkin, Andrey - In: Review of derivatives research 16 (2013) 2, pp. 111-134
Persistent link: https://www.econbiz.de/10010136592
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Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-105
Persistent link: https://www.econbiz.de/10009977724