Pages that link to "Item:Q5374080"

The following pages link to A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (Q5374080):

Displaying 50 items.

• Optimal portfolios for DC pension plans under a CEV model (Q1023114) (← links)
• Sequential calibration of options (Q1023619) (← links)
• The cross-section of average delta-hedge option returns under stochastic volatility (Q1029238) (← links)
• Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
• A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
• Optimal portfolios: new variations of an old theme (Q1031945) (← links)
• Bessel process and conformal quantum mechanics (Q1035830) (← links)
• Recursive estimation for continuous time stochastic volatility models (Q1036836) (← links)
• Arbitrage-free option prices on global markets (Q1037009) (← links)
• A tale of two volatilities (Q1037571) (← links)
• Polynomial chaos for simulating random volatilities (Q1037788) (← links)
• Asset pricing under information with stochastic volatility (Q1039656) (← links)
• The smirk in the S\&P500 futures options prices: a linearized factor analysis (Q1039662) (← links)
• Selecting the best forecasting-implied volatility model using genetic programming (Q1040021) (← links)
• Development of computational algorithms for evaluating option prices associated with square-root volatility processes (Q1041306) (← links)
• Robust static hedging of barrier options in stochastic volatility models (Q1044210) (← links)
• Can properly discounted projects follow geometric Brownian motion? (Q1044211) (← links)
• Volatility and GMM -- Monte Carlo studies and empirical estimations (Q1297655) (← links)
• Penalty methods for American options with stochastic volatility (Q1298615) (← links)
• Saddlepoint approximations to option prices (Q1305423) (← links)
• Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
• Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
• Estimation of risk-neutral densities using positive convolution approximation (Q1398970) (← links)
• The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
• Alternative models for stock price dynamics. (Q1398979) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• Empirical reverse engineering of the pricing kernel. (Q1398984) (← links)
• Empirical option pricing: A retrospection (Q1398987) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• Option pricing for stable and infinitely divisible asset returns (Q1596868) (← links)
• The Riccati equation in mathematical finance. (Q1599553) (← links)
• Option implied ambiguity and its information content: evidence from the subprime crisis (Q1615807) (← links)
• Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808) (← links)
• Computation of the Delta of European options under stochastic volatility models (Q1616804) (← links)
• Modeling and implementation of local volatility surfaces in Bayesian framework (Q1616807) (← links)
• Roles of capital flow on the stability of a market system (Q1618608) (← links)
• Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
• A path-independent method for barrier option pricing in hidden Markov models (Q1618828) (← links)
• Option pricing under deformed Gaussian distributions (Q1619162) (← links)
• Option pricing beyond Black-Scholes based on double-fractional diffusion (Q1619260) (← links)
• Option pricing for stochastic volatility model with infinite activity Lévy jumps (Q1619524) (← links)
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system (Q1619629) (← links)
• Understanding the determinants of volatility clustering in terms of stationary Markovian processes (Q1619870) (← links)
• The roles of mean residence time on herd behavior in a financial market (Q1619886) (← links)
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
• Volatility smile as relativistic effect (Q1620616) (← links)
• The volatility target effect in structured investment products with capital protection (Q1621618) (← links)
• A four-factor stochastic volatility model of commodity prices (Q1621624) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• A bias in the volatility smile (Q1621642) (← links)