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Stefan Gerhold · Study

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Stefan Gerhold

7 works· latest 2019· 1 institutionscluster: provisionalORCID 0000-0002-4172-3956

h-index7

i107

Citations315

Works here7

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Most cited in this library

Transaction costs, trading volume, and the liquidity premium2014 · 88 citations
On refined volatility smile expansion in the Heston model2011 · 53 citations
Asymptotics and duality for the Davis and Norman problem2011 · 46 citations
The dual optimizer for the growth-optimal portfolio under transaction costs2011 · 42 citations
Transaction Costs, Trading Volume, and the Liquidity Premium2012 · 32 citations

Works

7 shown

Moment explosions in the rough Heston model

Decisions in Economics and Finance·2019·3 authors·Open access

26citations

Option pricing in the moderate deviations regime

Mathematical Finance·2017·3 authors·Open access

28citations

Transaction costs, trading volume, and the liquidity premium

Archivio istituzionale della ricerca (Alma Mater Studiorum Università di Bologna)·2014·4 authors

88citations

Transaction Costs, Trading Volume, and the Liquidity Premium

SSRN Electronic Journal·2012·4 authors·preprint·Open access

32citations

Asymptotics and duality for the Davis and Norman problem

Stochastics·2011·3 authors

46citations

The dual optimizer for the growth-optimal portfolio under transaction costs

Finance and Stochastics·2011·3 authors

42citations

On refined volatility smile expansion in the Heston model

Quantitative Finance·2011·4 authors

53citations