Exponentiation of conditional expectations under stochastic volatility (Q5215433): Difference between revisions

@@ Property / author @@
+Elisa Alòs
@@ Property / author: Elisa Alòs / rank @@
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@@ Property / describes a project that uses @@
+Mathematica
@@ Property / describes a project that uses: Mathematica / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2019.1642506
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@@ Property / OpenAlex ID @@
+W2623860147
@@ Property / OpenAlex ID: W2623860147 / rank @@
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@@ Property / cites work @@
+A generalization of the Hull and White formula with applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+A decomposition formula for option prices in the Heston model and applications to option pricing approximation
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@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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@@ Property / cites work @@
+Perfect hedging in rough Heston models
@@ Property / cites work: Perfect hedging in rough Heston models / rank @@
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@@ Property / cites work @@
+The characteristic function of rough Heston models
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@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Large deviations and asymptotic methods in finance
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@@ Property / cites work @@
+THE NORMALIZING TRANSFORMATION OF THE IMPLIED VOLATILITY SMILE
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@@ Property / cites work @@
+VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
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@@ Property / cites work @@
+Affine forward variance models
@@ Property / cites work: Affine forward variance models / rank @@
+Normal rank
@@ Property / cites work @@
+RATIONAL APPROXIMATION OF THE ROUGH HESTON SOLUTION
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@@ Property / cites work @@
+From characteristic functions to implied volatility expansions
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@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
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@@ Property / cites work @@
+Stochastic Taylor Expansions for Functionals of Diffusion Processes
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@@ Property / cites work @@
+SKEW AND IMPLIED LEVERAGE EFFECT: SMILE DYNAMICS REVISITED
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@@ Property / Wikidata QID @@
+Q127372299
@@ Property / Wikidata QID: Q127372299 / rank @@
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