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A splitting strategy for the calibration of jump-diffusion models
Albani, Vinícius; Zubelli, Jorge P. - In: Finance and stochastics 24 (2020) 3, pp. 677-722
Persistent link: https://www.econbiz.de/10012518083
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Real option pricing with mean-reverting investment and project value
Jaimungal, Sebastian; Souza, Max O. de; Zubelli, Jorge P. - In: The European journal of finance 19 (2013) 7/8, pp. 625-644
Persistent link: https://www.econbiz.de/10010244747
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Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre; Saporito, Yuri F.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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On the asymptotics of fast mean-reversion stochastic volatility models
Souza, Max O.; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 817-835
Persistent link: https://www.econbiz.de/10003564654