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A note on the implied volatili...
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Option pricing theory
Optionspreistheorie
27
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Alòs, Elisa
26
León, Jorge A.
6
Vives, Josep
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Rolloos, Frido
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Shiraya, Kenichiro
3
García Lorite, David
2
Jacquier, Antoine
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Pravosud, Makar
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ECONIS (ZBW)
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
Alòs, Elisa
;
León, Jorge A.
;
Pontier, Monique
;
Vives, …
-
2008
Persistent link: https://www.econbiz.de/10008663229
Saved in:
2
On the goodness of fit of Kirk's formula for spread option prices
Alòs, Elisa
;
León, Jorge A.
-
2012
Persistent link: https://www.econbiz.de/10009724304
Saved in:
3
On the second derivative of the at-the-money implied volatility in stochastic volatility models
Alòs, Elisa
;
León, Jorge A.
-
2015
-
Revised: October 2015
Persistent link: https://www.econbiz.de/10011427674
Saved in:
4
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011686975
Saved in:
5
The implied volatility of forward starting options : ATM short-time level, skew and curvature
Alòs, Elisa
;
Jacquier, Antoine
;
León, Jorge A.
-
2017
Persistent link: https://www.econbiz.de/10011778056
Saved in:
6
On Lévy processes, Malliavin calculus and market models with jumps
León, Jorge A.
;
Solé, Joseph L.
;
Utzet, Frederic
; …
- In:
Finance and stochastics
6
(
2002
)
2
,
pp. 197-225
Persistent link: https://www.econbiz.de/10001662470
Saved in:
7
A general decomposition formula for derivative prices in stochastic volatility models
Alòs, Elisa
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001747474
Saved in:
8
A generalization of Hull and White formula and applications to option pricing approximation
Alòs, Elisa
(
contributor
)
-
2004
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002111661
Saved in:
9
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
-
2009
Persistent link: https://www.econbiz.de/10008665849
Saved in:
10
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Alòs, Elisa
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 403-422
Persistent link: https://www.econbiz.de/10009562316
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