Ha, Mijin; Kim, Donghyun; Yoon, Ji-Hun The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model. (English) Zbl 1524.35125 J. Appl. Math. Inform. 41, No. 1, 33-50 (2023). MSC: 35C20 91G20 91G80 × Cite Format Result Cite Review PDF Full Text: DOI
Kim, Seong-Tae; Kim, Jeong-Hoon Stochastic elasticity of vol-of-vol and pricing of variance swaps. (English) Zbl 1510.91111 Math. Comput. Simul. 177, 420-440 (2020). MSC: 91B70 × Cite Format Result Cite Review PDF Full Text: DOI