Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model

von Bourgey, Florian
Veröffentlicht in The journal of computational finance (2022)

Some estimates in extended stochastic volatility models of Heston type

von Bally, V.
Veröffentlicht in Risk and decision analysis (201011)

The term structure of implied volatility in symmetric models with applications to Heston

von De Marco, Stefano
Veröffentlicht in International journal of theoretical and applied finance (2012)

Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula

von De Marco, Stefano
Veröffentlicht in Quantitative finance (2018)

Forse cercavi

Veröffentlicht 2014