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Exponentiation of Conditional Expectations Under Stochastic Volatility · Study

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ArticleExponentiation of Conditional Expectations Under Stochastic Volatility

Elisa Alòs2017

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Articlegreen2017

Exponentiation of Conditional Expectations Under Stochastic Volatility

Elisa Alòs · Jim Gatheral · Radoš Radoičić

26 citations·0/0 files stored·Quantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1999Option valuation using the fast Fourier transform 2000Derivatives in Financial Markets with Stochastic Volatility 2006The Volatility Surface: A Practitioner's Guide 2009The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well 2015Pricing under rough volatility 2019The characteristic function of rough Heston models 2002Option valuation under stochastic volatility: with mathematica code 2018Perfect hedging in rough Heston models

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2019Moment explosions in the rough Heston model 2024The rough Hawkes Heston stochastic volatility model 2020Fractional Riccati Equation and Its Applications to Rough Heston Model Using Numerical Methods

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Year2017

Typearticle

Published2017-01-01

VenueQuantitative Finance

ISSN-L1469-7688

Languageen

Citations26

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1080/14697688.2019.1642506

openalex_workW2623860147

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