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Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
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A closed-form option pricing approximation formula for a fractional Heston model
Alòs, Elisa; Yang, Yan - 2014
Persistent link: https://www.econbiz.de/10010425642
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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
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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
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Valuation of barrier options via a general self-duality
Alòs, Elisa; Chen, Zhanyu; Rheinländer, Thorsten - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 492-515
Persistent link: https://www.econbiz.de/10011583542
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A note on the implied volatility of floating strike Asian options
Alòs, Elisa; León, Jorge A. - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 743-758
Persistent link: https://www.econbiz.de/10012127320
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CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa; Antonelli, Fabio; Ramponi, A.; Scarlatti, S. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
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On the implied volatility of Asian options under stochastic volatility models
Alòs, Elisa; Nualart, Eulalia; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 5, pp. 249-274
Persistent link: https://www.econbiz.de/10015051248