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~subject:"stochastic volatility"
~type_genre:"Aufsatz in Zeitschrift"
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stochastic volatility
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The journal of computational finance
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International journal of theoretical and applied finance
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The CTMC–Heston model : calibration and exotic option pricing with SWIFT
Leitao, Álvaro
;
Kirkby, J. Lars
;
Ortiz-Garcia, Luis
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 71-114
Persistent link: https://www.econbiz.de/10012544164
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2
On some functionals of the first passage times in models with switching stochastic volatility
Gapeev, Pavel V.
;
Brockhaus, Oliver
;
Dubois, Mathieu
- In:
International journal of theoretical and applied finance
21
(
2018
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011845962
Saved in:
3
Insider trading, stochastic liquidity, and equilibrium prices
Collin-Dufresne, Pierre
;
Fos, Vyacheslav
- In:
Econometrica : journal of the Econometric Society, an …
84
(
2016
)
4
,
pp. 1441-1475
Persistent link: https://www.econbiz.de/10011611102
Saved in:
4
A novel Fourier transform B-spline method for option pricing
Haslip, Gareth G.
;
Kaishev, Vladimir K.
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 41-74
Persistent link: https://www.econbiz.de/10011480709
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