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.

• A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment (Q6149349) (← links)
• Approximate option pricing under a two-factor Heston-Kou stochastic volatility model (Q6149566) (← links)
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
• Robust optimal asset-liability management with mispricing and stochastic factor market dynamics (Q6152696) (← links)
• Risk-neutral valuation of GLWB riders in variable annuities (Q6152701) (← links)
• Models with Uncertain Volatility (Q6153044) (← links)
• Hedging cryptocurrency options (Q6154211) (← links)
• Optimal investment and reinsurance strategies under 4/2 stochastic volatility model (Q6156011) (← links)
• Modeling and simulation of financial returns under non-Gaussian distributions (Q6156468) (← links)
• Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)
• Boundary-safe PINNs extension: application to non-linear parabolic PDEs in counterparty credit risk (Q6157931) (← links)
• Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing (Q6158396) (← links)
• Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
• Pricing commodity index options (Q6158400) (← links)
• Deep weighted Monte Carlo: a hybrid option pricing framework using neural networks (Q6158425) (← links)
• A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626) (← links)
• Pricing American options under Azzalini Ito-McKean skew Brownian motions (Q6160632) (← links)
• High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)
• A Stackelberg reinsurance-investment game with derivatives trading (Q6161744) (← links)
• Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes (Q6162783) (← links)
• Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (Q6164526) (← links)
• Hedging at-the-money digital options near maturity (Q6164847) (← links)
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models (Q6164849) (← links)
• Pricing Options Under Time-Fractional Model Using Adomian Decomposition (Q6165078) (← links)
• High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018) (← links)
• A subdiffusive stochastic volatility jump model (Q6166218) (← links)
• (Q6168686) (← links)
• Strong convergence rate of implicit Euler scheme to a CIR model with delay (Q6169226) (← links)
• Calibrating fractional Vasicek model (Q6169355) (← links)
• Valuation of variable annuities under stochastic volatility and stochastic jump intensity (Q6169665) (← links)
• Option pricing under time interval driven model (Q6171877) (← links)
• Invariant solutions of the Heston model for European option with dividend yield (Q6172072) (← links)
• Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations (Q6173002) (← links)
• Nonparametric Bayesian volatility learning under microstructure noise (Q6176240) (← links)
• The roles of extrinsic periodic information on the stability of stock price (Q6176894) (← links)
• \( C^{1,\alpha}\) regularity for degenerate parabolic equations arising from the Heston model (Q6181191) (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)
• On the convergence of two types of estimators of quadratic variation (Q6182335) (← links)
• Approximate filtering via discrete dual processes (Q6189184) (← links)
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition (Q6190295) (← links)
• Estimation of Leverage Effect: Kernel Function and Efficiency (Q6190703) (← links)
• Can a Machine Correct Option Pricing Models? (Q6190709) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• Pricing formula for a barrier call option based on stochastic delay differential equation (Q6192363) (← links)
• Continuous‐time stochastic gradient descent for optimizing over the stationary distribution of stochastic differential equations (Q6196292) (← links)
• Reinforcement learning with dynamic convex risk measures (Q6196296) (← links)
• Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
• Maximum likelihood estimation of latent Markov models using closed-form approximations (Q6199638) (← links)
• INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS (Q6203301) (← links)
• Log-normal stochastic volatility model with quadratic drift (Q6492032) (← links)