16 citations to https://www.mathnet.ru/rus/rm9424
  1. Andrey Itkin, “Short time behavior of the ATM implied skew in the ADO-Heston model”, FMF, 2024  crossref
  2. M. Fukasawa, “Wiener spiral for volatility modeling”, Теория вероятн. и ее примен., 68:3 (2023), 596–618  mathnet  crossref; Theory Probab. Appl., 68:3 (2023), 481–500  crossref
  3. Wolfgang Bock, Martin Grothaus, Karlo Orge, “Stochastic analysis for vector-valued generalized grey Brownian motion”, Theor. Probability and Math. Statist., 108 (2023), 1  crossref
  4. CHRISTIAN BAYER, ERIC JOSEPH HALL, RAÚL TEMPONE, “WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY”, Int. J. Theor. Appl. Finan., 25:07n08 (2022)  crossref
  5. Harms Ph., “Strong Convergence Rates For Markovian Representations of Fractional Processes”, Discrete Contin. Dyn. Syst.-Ser. B, 26:10 (2021), 5567–5579  crossref  mathscinet  isi
  6. Zhu Q., Loeper G., Chen W., Langrene N., “Markovian Approximation of the Rough Bergomi Model For Monte Carlo Option Pricing”, Mathematics, 9:5 (2021), 528  crossref  isi  scopus
  7. Funahashi H., “Replication Scheme For the Pricing of European Options”, Int. J. Theor. Appl. Financ., 24:03 (2021), 2150014  crossref  mathscinet  isi
  8. Bock W., Desmettre S., da Silva J.L., “Integral Representation of Generalized Grey Brownian Motion”, Stochastics, 92:4 (2020), 552–565  crossref  mathscinet  isi
  9. Yaskov P., “A Maximal Inequality For Fractional Brownian Motions”, J. Math. Anal. Appl., 472:1 (2019), 11–21  crossref  mathscinet  isi  scopus
  10. Harms Ph., Stefanovits D., “Affine Representations of Fractional Processes With Applications in Mathematical Finance”, Stoch. Process. Their Appl., 129:4 (2019), 1185–1228  crossref  mathscinet  isi  scopus
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