Stochastic Volatility Corrections for Interest Rate Derivatives (Q4827310): Difference between revisions

@@ Property / author @@
-George S. Papanicolaou
@@ Property / author: George S. Papanicolaou / rank @@
-Normal rank
@@ Property / author @@
+George S. Papanicolaou
@@ Property / author: George S. Papanicolaou / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.0960-1627.2004.00188.x
+Normal rank
@@ Property / OpenAlex ID @@
+W3125164112
@@ Property / OpenAlex ID: W3125164112 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial modeling in a fast mean-reverting stochastic volatility environment
+Normal rank
@@ Property / cites work @@
+FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
+Normal rank
@@ Property / cites work @@
+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Option Pricing
@@ Property / cites work: Singular Perturbations in Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q3910361
@@ Property / cites work: Q3910361 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank