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Option pricing with quadratic volatility : a revisit

Andersen, Leif B. G. - In: Finance and stochastics 15 (2011) 2, pp. 191-219

Persistent link: https://www.econbiz.de/10009159127

Simple and efficient simulation of the Heston stochastic volatility model

Andersen, Leif B. G. - In: The journal of computational finance 11 (2007/08) 3, pp. 1-42

Persistent link: https://www.econbiz.de/10003699934

Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Review of derivatives research 4 (2000) 3, pp. 231-262

Persistent link: https://www.econbiz.de/10001596719

The equity option volatility smile : an implicit finite-difference approach

Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 1 (1997/1998) 2, pp. 5-37

Persistent link: https://www.econbiz.de/10001633250

Asymptotics for exponential Lévy processes and their volatility smile : survey and new results

Andersen, Leif B. G.; Lipton, Alexander - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-98

Persistent link: https://www.econbiz.de/10009725096

Moment explosions in stochastic volatility models

Andersen, Leif B. G.; Piterbarg, Vladimir V. - In: Finance and stochastics 11 (2007) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10003410634

Extended Libor market models with stochastic volatility

Andersen, Leif B. G.; Brotherton-Ratcliffe, Rupert - In: The journal of computational finance 9 (2005) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10003191097

Asymptotics for Exponential Levy Processes and Their Volatility Smile : Survey and New Results

Andersen, Leif B. G. - 2012

Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such processes, and the corresponding implied volatility surfaces...

Persistent link: https://www.econbiz.de/10013104402

American options with stochastic dividends and volatility : a nonparametric investigation

Broadie, Mark (contributor) - In: Journal of econometrics 94 (2000) 1/2, pp. 53-92

Persistent link: https://www.econbiz.de/10001437745

Pricing and hedging volatility derivatives

Broadie, Mark; Jain, Ashish - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 7-24

Persistent link: https://www.econbiz.de/10003673338