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Expressions of forward starting option price in Hull-White stochastic volatility model
Hata, Hiroaki; Liu, Nien-Lin; Yasuda, Kazuhiro - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 101-135
Persistent link: https://www.econbiz.de/10013380538
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Asset pricing with a forward-backward stochastic differential utility
Antonelli, Fabio; Barucci, Emilio; Mancino, Maria Elvira - In: Economics letters 72 (2001) 2, pp. 151-157
Persistent link: https://www.econbiz.de/10001589220
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The price-volatility feedback rate : an implementable mathematical indicator of market stability
Barucci, Emilio; Malliavin, Paul; Mancino, Maria Elvira; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 17-35
Persistent link: https://www.econbiz.de/10001765629