Pages that link to "Item:Q5374080"
From MaRDI portal
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.
- From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
- Boundary-degenerate elliptic operators and Hölder continuity for solutions to variational equations and inequalities (Q1683355) (← links)
- Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
- A simple trinomial lattice approach for the skew-extended CIR models (Q1687377) (← links)
- Applications of the central limit theorem for pricing cliquet-style options (Q1689027) (← links)
- Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
- Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
- Weighted average price in the Heston stochastic volatility model (Q1693861) (← links)
- A multiscale extension of the Margrabe formula under stochastic volatility (Q1693945) (← links)
- Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← links)
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216) (← links)
- An uncertain currency model with floating interest rates (Q1703677) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- The microstructural foundations of leverage effect and rough volatility (Q1709601) (← links)
- The pricing kernel puzzle in forward looking data (Q1710579) (← links)
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling (Q1711138) (← links)
- Optimal dynamic mean-variance asset-liability management under the Heston model (Q1712605) (← links)
- On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193) (← links)
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- On the implementation of multilevel Monte Carlo simulation of the stochastic volatility and interest rate model using multi-GPU clusters (Q1713864) (← links)
- Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
- Pricing extendible options using the fast Fourier transform (Q1719223) (← links)
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market (Q1722394) (← links)
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758) (← links)
- European option pricing under cumulative prospect theory with constant relative sensitivity probability weighting functions (Q1722761) (← links)
- Turbo warrants under hybrid stochastic and local volatility (Q1724051) (← links)
- Option pricing with ARIMA-GARCH models of underlying asset returns (Q1725588) (← links)
- On the distribution of extended CIR model (Q1726700) (← links)
- Fractional Lévy Cox-Ingersoll-Ross and Jacobi processes (Q1726711) (← links)
- The use of power numeraires in option pricing (Q1728170) (← links)
- A modified Black-Scholes pricing formula for European options with bounded underlying prices (Q1732426) (← links)
- On explicit local solutions of Itô diffusions (Q1733803) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- On the optimality of path-dependent structured funds: the cost of standardization (Q1735195) (← links)
- A stochastic approach to model housing markets: the US housing market case (Q1735709) (← links)
- Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching (Q1739344) (← links)
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
- Estimating the integrated volatility with tick observations (Q1739633) (← links)
- Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704) (← links)
- Optimal investment under VaR-regulation and minimum insurance (Q1742722) (← links)
- A closed-form pricing formula for European options under the Heston model with stochastic interest rate (Q1743938) (← links)
- Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
- ADI schemes for valuing European options under the Bates model (Q1748427) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
- Derivatives trading for insurers (Q1757608) (← links)
