Author:
Cui Zhenyu,Lars Kirkby J.,Nguyen Duy
Subject
Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering
Reference80 articles.
1. Ackerer, D., Filipović, D., & Pulido, S. (2016). The Jacobi stochastic volatility model. Swiss Finance Institute Research Paper 16-35.
2. Alexander, C., & Rauch, J. (2016). Model-freediscretisation-invariant swap contracts. arXiv preprint:1602.00235.
3. Delta-hedged gains and the negative market volatility risk premium;Bakshi;Review of Financial Studies,2003
4. Pricing VXX option with default risk and positive volatility skew;Bao;European Journal of Operational Research,2012
5. Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options;Bates;Review of Financial Studies,1996
Cited by
90 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