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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. 57-79

Persistent link: https://www.econbiz.de/10010867549

The αVG model for multivariate asset pricing: calibration and extension

Guillaume, Florence - In: Review of Derivatives Research 16 (2013) 1, pp. 25-52

Luciano and Semeraro proposed a class of multivariate asset pricing models where the asset log-returns are modeled by a multivariate Brownian motion time-changed by a multivariate subordinator which consists of the weighted sum of a common and an idiosyncratic subordinator. In the original...

Persistent link: https://www.econbiz.de/10010989566

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. 57-79

Persistent link: https://www.econbiz.de/10009627433

Building multivariate Sato models with linear dependence

Boen, Lynn; Guillaume, Florence - In: Quantitative finance 19 (2019) 4, pp. 619-645

Persistent link: https://www.econbiz.de/10012194701

Towards a Δ-Gamma Sato multivariate model

Boen, Lynn; Guillaume, Florence - In: Review of derivatives research 23 (2020) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10012229781