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Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: Journal of mathematical finance 3 (2013) 1, pp. 10-32
Persistent link: https://www.econbiz.de/10010240231
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An explicitly solvable multi-scale stochastic volatility model : option pricing and calibration problems
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: The journal of futures markets 29 (2009) 9, pp. 862-893
Persistent link: https://www.econbiz.de/10003900928
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The analysis of real data using a multiscale stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Recchioni, Maria … - In: European financial management : the journal of the … 19 (2013) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10009706264
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Calibration in the "real world" of a partially specified stochastic volatility model
Fatone, Lorella; Mariani, Francesca; Zirilli, Francesco - In: The journal of futures markets 44 (2024) 1, pp. 75-102
Persistent link: https://www.econbiz.de/10014475426
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Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices : an application of nonlinear filtering theory
Mariani, Francesca; Pacelli, Graziella; Zirilli, Francesco - In: Optimization letters 2 (2008) 2, pp. 177-222
Persistent link: https://www.econbiz.de/10003687162