Randomization of Short-Rate Models, Analytic Pricing and Flexibility in Controlling Implied Volatilities
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- Lech A. Grzelak, 2022. "On Randomization of Affine Diffusion Processes with Application to Pricing of Options on VIX and S&P 500," Papers 2208.12518, arXiv.org.
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- T. van der Zwaard & L. A. Grzelak & C. W. Oosterlee, 2024. "On the Hull-White model with volatility smile for Valuation Adjustments," Papers 2403.14841, arXiv.org.
- Felix L. Wolf & Griselda Deelstra & Lech A. Grzelak, 2024. "Consistent asset modelling with random coefficients and switches between regimes," Papers 2401.09955, arXiv.org, revised Apr 2024.
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