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A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
Kim, Donghyun; Ha, Mijin; Kim, Jeong-Hoon; Yoon, Ji-Hun - In: The quarterly review of economics and finance 97 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015188448
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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Yamazaki, Akira - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10011523937
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Second-order stochastic volatility asymptotics and the pricing of foreign exchange derivatives
Pellegrino, Tommaso - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-30
Persistent link: https://www.econbiz.de/10012271009
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Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T. - In: International journal of financial engineering 7 (2020) 4, pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
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The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs
Kim, Donghyun; Shin, Yong Hyun; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 70 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014491977
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Optimal investment with correlated stochastic volatility factors
Bichuch, Maxim; Fouque, Jean-Pierre - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 342-369
Persistent link: https://www.econbiz.de/10014278672