Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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Publication:4943153
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- Effective stochastic volatility: applications to ZABR-type models
- Speed and biases of Fourier-based pricing choices: a numerical analysis
- Calibrating local volatility models with stochastic drift and diffusion
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility
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- Polynomial jump-diffusion models
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
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- Asymptotic behaviour of randomised fractional volatility models
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