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Delta-hedging in fractional volatility models
Zhao, Qi; Chronopoulou, Alexandra - In: Annals of finance 19 (2023) 1, pp. 119-140
Persistent link: https://www.econbiz.de/10014253877
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Symposium on stochastic volatility: an introductory overview
Viens, Frederi - In: Annals of Finance 8 (2012) 2, pp. 151-157
Persistent link: https://www.econbiz.de/10010866514
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Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
Kim, Ha-Young; Viens, Frederi - In: Annals of Finance 8 (2012) 2, pp. 405-425
Persistent link: https://www.econbiz.de/10010866543
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Extreme-strike asymptotics for general Gaussian stochastic volatility models
Gulisashvili, Archil; Viens, Frederi G.; Zhang, Xin - In: Annals of finance 15 (2019) 1, pp. 59-101
Persistent link: https://www.econbiz.de/10012058191