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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
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa (contributor); León, Jorge A. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003379784
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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Alòs, Elisa; León, Jorge A.; Vives, Josep - In: Finance and stochastics 11 (2007) 4, pp. 571-589
Persistent link: https://www.econbiz.de/10003645538
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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
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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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An anticipating calculus approach to the utility maximization of an insider
León, Jorge A.; Navarro, Reyla; Nualart, David - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 171-185
Persistent link: https://www.econbiz.de/10001765670
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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
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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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A generalization of the Hull and White formula with applications to option pricing approximation
Alòs, Elisa - In: Finance and stochastics 10 (2006) 3, pp. 353-365
Persistent link: https://www.econbiz.de/10003380015