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.

• Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models (Q6577989) (← links)
• The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
• Foreign exchange rate volatility smiles and smirks (Q6579568) (← links)
• Closed-form approximated pricing of multivariate derivatives under switching regime models (Q6579701) (← links)
• Option pricing under jump diffusion model (Q6580270) (← links)
• The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes (Q6580717) (← links)
• Asymptotic analysis of the Heston model and its statistical and financial applications (Q6580763) (← links)
• New approach and analysis of the generalized constant elasticity of variance model (Q6581468) (← links)
• Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps (Q6581589) (← links)
• Short time behavior of the ATM implied skew in the ADO-Heston model (Q6581627) (← links)
• An efficient method to simulate diffusion bridges (Q6581664) (← links)
• The power of derivatives in portfolio optimization under affine GARCH models (Q6581911) (← links)
• Implicit-explicit Runge-Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models (Q6584729) (← links)
• Transition density function expansion methods for portfolio optimization (Q6585828) (← links)
• An efficient and provable sequential quadratic programming method for American and swing option pricing (Q6586252) (← links)
• New parametrization of stochastic volatility models (Q6587699) (← links)
• High-dimensional stochastic control models for newsvendor problems and deep learning resolution (Q6589107) (← links)
• A novel term-structure-based Heston model for implied volatility surface (Q6590577) (← links)
• Dynamical analysis of a stochastic maize streak virus epidemic model with logarithmic Ornstein-Uhlenbeck process (Q6590647) (← links)
• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions (Q6593327) (← links)
• Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model (Q6594798) (← links)
• Learning to simulate sequentially generated data via neural networks and Wasserstein training (Q6599355) (← links)
• Approximating inverse cumulative distribution functions to produce approximate random variables (Q6601383) (← links)
• Statistical inference for stochastic differential equations (Q6602008) (← links)
• Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model (Q6602277) (← links)
• Approximation rates for deep calibration of (rough) stochastic volatility models (Q6606848) (← links)
• Hopf bifurcation analysis of a continuous investment update project model (Q6607548) (← links)
• Computational solution of stochastic differential equations (Q6607906) (← links)
• The valuation of American options with the stochastic liquidity risk and jump risk (Q6608229) (← links)
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing (Q6611517) (← links)
• Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance (Q6613548) (← links)
• A Class of Non-Gaussian State Space Models With Exact Likelihood Inference (Q6616634) (← links)
• Optimal consumption and investment in general affine GARCH models (Q6617073) (← links)
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients (Q6618223) (← links)
• A Bayesian non-stationary heteroskedastic time series model for multivariate critical care data (Q6618410) (← links)
• Robustness of Hilbert space-valued stochastic volatility models (Q6619590) (← links)
• Valuing a European option under the Heston model with interest rate (Q6621062) (← links)
• Reconciling rough volatility with jumps (Q6623042) (← links)
• Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
• Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation (Q6623162) (← links)
• Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models (Q6623164) (← links)
• Conditional quasi-Monte Carlo with constrained active subspaces (Q6623714) (← links)
• On pricing of discrete Asian and Lookback options under the Heston model (Q6625112) (← links)
• A gradient-based calibration method for the Heston model (Q6625126) (← links)
• The Leverage Effect Puzzle under Semi-nonparametric Stochastic Volatility Models (Q6626222) (← links)
• Empirical likelihood for high frequency data (Q6626337) (← links)
• Nonparametric Bayesian inference for stochastic processes with piecewise constant priors (Q6630469) (← links)
• Deep Gaussian Process Emulation using Stochastic Imputation (Q6631122) (← links)
• An efficient fourth-order numerical scheme for nonlinear multi-asset option pricing problems (Q6632418) (← links)
• Numerical solution of a new generalized American option under \(\psi\)-Caputo time-fractional derivative Heston model (Q6633355) (← links)