Elisa Nicolato

Aarhus University - Department of Business and Economics

Nordre Ringgade 1

Aarhus C, DK-8000

Denmark

  • Aarhus University - Department of Business and Economics

SCHOLARLY PAPERS

3

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307

SSRN CITATIONS

2

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Scholarly Papers (3)

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1.

Risk Adjustments of Option Prices under Time-changed Dynamics

Nicolato, E., & Sloth, D. (2014). Risk adjustments of option prices under time-changed dynamics. Quantitative Finance, 14(1), 125-141.
Number of pages: 31 Posted: 11 Mar 2013 Last Revised: 15 Feb 2014
Elisa Nicolato and David Sloth
Aarhus University - Department of Business and Economics and Danske Bank - Danske Markets
Downloads 163 (279,464)
Citation 1

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analytical approximation, price-risk adjustments, Lévy processes, stochastic volatility, affine models, calibration

2.

Orthogonal Expansions for VIX Options Under Affine Jump Diffusions

Quantitative Finance 18.6 (2018): 951-967. Accepted August 17, 2017. DOI: 10.1080/14697688.2017.1371322.
Number of pages: 26 Posted: 24 Feb 2017 Last Revised: 27 Jul 2018
Andrea Barletta and Elisa Nicolato
Nordea and Aarhus University - Department of Business and Economics
Downloads 144 (311,169)
Citation 2

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VIX options, Affine jump diffusion, Orthogonal polynomials, Laguerre expansions

3.

The Impact of Jump Distributions on the Implied Volatility of Variance

Posted: 17 Feb 2014
Elisa Nicolato, Camilla Pisani and David Sloth
Aarhus University - Department of Business and Economics, Aarhus University - Department of Economics and Business Economics and Danske Bank - Danske Markets

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Jump distributions stochastic volatility option pricing realized variance volatility derivatives