Correlations and bounds for stochastic volatility models-Reference-Cited by-同舟云学术

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Correlations and bounds for stochastic volatility models

Published:2007-02 Issue:1 Volume:24 Page:1-16
ISSN:0294-1449
Container-title:Annales de l'Institut Henri Poincaré C, Analyse Non Linéaire
language:
Short-container-title:Ann. Inst. H. Poincaré Anal. Non Linéaire

Author:

Lions P.-L.¹²,Musiela M.³

Affiliation:

1. Collège de France, 3, rue d'Ulm, 75005 Paris, France

2. CEREMADE – UMR C.N.R.S. 7534, Université Paris-Dauphine, place du Maréchal de Lattre de Tassigny, 75775 Paris cedex 16, France

3. FIRST, BNP-Paribas, 10 Harewood Avenue, London NW1 6AA, United Kingdom

Publisher

European Mathematical Society - EMS - Publishing House GmbH

Subject

Mathematical Physics,Analysis,Applied Mathematics

Cited by 76 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Functional Stochastic Discount Factors in the Stochastic Volatility Model;SSRN Electronic Journal;2024

2. LOG-NORMAL STOCHASTIC VOLATILITY MODEL WITH QUADRATIC DRIFT;International Journal of Theoretical and Applied Finance;2023-12

3. The log‐moment formula for implied volatility;Mathematical Finance;2023-05-11

4. MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES;International Journal of Theoretical and Applied Finance;2023-05

5. Optional projection under equivalent local martingale measures;Finance and Stochastics;2023-03-31

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