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.

• Testing monotonicity of pricing kernels (Q1621677) (← links)
• An analytical approximation for single barrier options under stochastic volatility models (Q1621902) (← links)
• Prediction-based estimating functions for stochastic volatility models with noisy data: comparison with a GMM alternative (Q1621997) (← links)
• Parameter estimation and inference in dynamic systems described by linear partial differential equations (Q1622073) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494) (← links)
• Large deviations for the extended Heston model: the large-time case (Q1627673) (← links)
• VIX forecast under different volatility specifications (Q1627811) (← links)
• Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
• Perfect hedging in rough Heston models (Q1634189) (← links)
• A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
• Fractional Cox-Ingersoll-Ross process with non-zero ``mean'' (Q1641938) (← links)
• On backward Kolmogorov equation related to CIR process (Q1641940) (← links)
• An analytic study of the Ornstein-Uhlenbeck process with time-varying coefficients in the modeling of anomalous diffusions (Q1642040) (← links)
• The moments of a diffusion process (Q1642244) (← links)
• Option pricing in a regime switching stochastic volatility model (Q1642260) (← links)
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) (← links)
• The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• Stochastic differential equation in a random environment (Q1645317) (← links)
• Black-Scholes in a CEV random environment (Q1648901) (← links)
• Non-implementability of Arrow-Debreu equilibria by continuous trading under volatility uncertainty (Q1650941) (← links)
• The Jacobi stochastic volatility model (Q1650944) (← links)
• Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• How should a local regime-switching model be calibrated? (Q1655569) (← links)
• Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data (Q1655591) (← links)
• Robust valuation, arbitrage ambiguity and profit \& loss analysis (Q1655920) (← links)
• An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (Q1656408) (← links)
• Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
• Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility (Q1657206) (← links)
• Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
• Robustness of stable volatility strategies (Q1657466) (← links)
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
• Microstructure models with short-term inertia and stochastic volatility (Q1665369) (← links)
• A random parameter model for continuous-time mean-variance asset-liability management (Q1666339) (← links)
• On volatility swaps for stock market forecast: application example CAC 40 French Index (Q1667389) (← links)
• VIX-linked fees for GMWBs via explicit solution simulation methods (Q1667404) (← links)
• The pricing kernel puzzle: survey and outlook (Q1669867) (← links)
• Corporate bond pricing model with stochastically volatile firm value process (Q1672715) (← links)
• On estimating market microstructure noise variance (Q1672752) (← links)
• Filtering for partially observed diffusion and its applications (Q1673260) (← links)
• Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
• Mixed fractional Heston model and the pricing of American options (Q1675943) (← links)
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
• Non-zero-sum stochastic differential reinsurance and investment games with default risk (Q1681455) (← links)