Garnier, Josselin; Sølna, Knut Option pricing under fast-varying long-memory stochastic volatility. (English) Zbl 1411.91556 Math. Finance 29, No. 1, 39-83 (2019). MSC: 91G20 60G22 60J60 60G44 PDFBibTeX XMLCite \textit{J. Garnier} and \textit{K. Sølna}, Math. Finance 29, No. 1, 39--83 (2019; Zbl 1411.91556) Full Text: DOI arXiv
Scaillet, O. Nonparametric estimation and sensitivity analysis of expected shortfall. (English) Zbl 1097.91049 Math. Finance 14, No. 1, 115-129 (2004). MSC: 91G70 91B82 62G05 62M10 62P05 91B84 PDFBibTeX XMLCite \textit{O. Scaillet}, Math. Finance 14, No. 1, 115--129 (2004; Zbl 1097.91049) Full Text: DOI Link