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.

• Bayesian parameter inference for partially observed stochastic volterra equations (Q6494422) (← links)
• Projection and contraction method for the valuation of American options under regime switching (Q6495298) (← links)
• Mild to classical solutions for XVA equations under stochastic volatility (Q6496950) (← links)
• A closed-form pricing formula for European options under a multi-factor nonlinear stochastic volatility model with regime-switching (Q6498440) (← links)
• Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities (Q6498605) (← links)
• Bridge successive states for a complex system with evolutionary matrix (Q6500374) (← links)
• Asian option pricing under an uncertain volatility model (Q6534446) (← links)
• Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation (Q6534455) (← links)
• Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity (Q6534650) (← links)
• European spread option pricing with the floating interest rate for uncertain financial market (Q6534677) (← links)
• Pricing catastrophe equity put options in a mixed fractional Brownian motion environment (Q6534717) (← links)
• Affine Heston model style with self-exciting jumps and long memory (Q6536770) (← links)
• Investigations to the optimal derivative-based investment and proportional reinsurance strategies (Q6536937) (← links)
• Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility (Q6541020) (← links)
• Foreign exchange option pricing under the 4/2 stochastic volatility model with CIR interest rates. (Q6541106) (← links)
• An analytic solution and an approximate solution for log-return variance swaps under double-mean-reverting volatility (Q6543168) (← links)
• Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model (Q6543770) (← links)
• Physics-informed convolutional transformer for predicting volatility surface (Q6546314) (← links)
• Seasonal volatility in agricultural markets: modelling and empirical investigations (Q6547036) (← links)
• Unlocking the black box: non-parametric option pricing before and during COVID-19 (Q6547037) (← links)
• Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model (Q6547039) (← links)
• An expectile computation cookbook (Q6547781) (← links)
• Random diffusivity from stochastic equations: comparison of two models for Brownian yet non-Gaussian diffusion (Q6548243) (← links)
• On GARCH models and applications: foreign exchange rate volatility and a price index (Q6549388) (← links)
• A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)
• Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data (Q6549590) (← links)
• An efficient unified approach for spread option pricing in a copula market model (Q6549601) (← links)
• Implied value-at-risk and model-free simulation (Q6549615) (← links)
• Seasonality in commodity prices: new approaches for pricing plain vanilla options (Q6549625) (← links)
• Pricing fixed income derivatives under a three-factor CIR model with unspanned stochastic volatility (Q6549857) (← links)
• Pricing levered warrants under the CEV diffusion model (Q6549859) (← links)
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)
• Nonparametric estimation of quadratic variation using high-frequency data (Q6551463) (← links)
• Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging (Q6553232) (← links)
• Variance swaps with mean reversion and multi-factor variance (Q6554616) (← links)
• Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (Q6556204) (← links)
• Reconstruction of volatility surfaces: a first computational study (Q6556648) (← links)
• PDE-based Bayesian inference of CEV dynamics for credit risk in stock prices (Q6563721) (← links)
• Pricing of timer digital power options based on stochstic volatility (Q6563856) (← links)
• Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity (Q6564802) (← links)
• Performance enhancement through portfolio optimization of delayed insider information: an analysis and implementation study (Q6567280) (← links)
• On pricing options under two stochastic volatility processes (Q6569311) (← links)
• Risk management with local least squares Monte Carlo (Q6569736) (← links)
• On approximate matrix factorization and TASE W-methods for the time integration of parabolic partial differential equations (Q6571378) (← links)
• Reconstructing unknown coefficients of stochastic differential equations and intelligently predicting random processes with directed learning (Q6572943) (← links)
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models (Q6573815) (← links)
• A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises (Q6574582) (← links)
• Multifactor Heston's stochastic volatility model for European option pricing (Q6574625) (← links)
• Implied roughness in the term structure of oil market volatility (Q6576878) (← links)
• Estimating correlations among elliptically distributed random variables under any form of heteroskedasticity (Q6576885) (← links)