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Applied Mathematical Finance Volume 11, 2004 - Issue 1
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Multiple time scales in volatility and leverage correlations: a stochastic volatility model

Josep Perelló Department de Física Fonamental, Universitat de Barcelona, Diagonal, 647, E‐08028 Barcelona, Spain E-mail: [email protected]
,
Jaume Masoliver Department de Física Fonamental, Universitat de Barcelona, Diagonal, 647, E‐08028 Barcelona, Spain E-mail: [email protected]
&
Jean‐Philippe Bouchaud Service the Physique de l'État Condensé, Centre d'Études de Saclay, Orme des Merisiers, 91191 Gif‐sur‐Yvette Cedex, France; Science and Finance‐CFM, 6‐8 Bvd Haussmann, 75009 Paris, France E-mail: jean‐philippe.bouchaud@science‐finance.fr
Pages 27-50 | Received 28 Feb 2003, Published online: 13 May 2010

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Jeonggyu Huh, Jaegi Jeon, Jeong-Hoon Kim & Hyejin Park. (2019) A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility. Quantitative Finance 19:1, pages 155-175.
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Benoit Pochart & Jean-Philippe Bouchaud . (2004) Option pricing and hedging with minimum local expected shortfall. Quantitative Finance 4:5, pages 607-618.
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Lisa Borland & Jean-Philippe Bouchaud. (2004) A non-Gaussian option pricing model with skew. Quantitative Finance 4:5, pages 499-514.
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