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.

• The beneficial role of random strategies in social and financial systems (Q1953117) (← links)
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk (Q1955160) (← links)
• Implications of parameter uncertainty on option prices (Q1958422) (← links)
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682) (← links)
• American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
• Bayesian analysis of contingent claim model error (Q1969817) (← links)
• Post-'87 crash fears in the S\&P 500 futures option market (Q1969818) (← links)
• Pricing and hedging long-term options (Q1969824) (← links)
• Pseudospectral roaming contour integral methods for convection-diffusion equations (Q1983173) (← links)
• Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform (Q1983760) (← links)
• Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560) (← links)
• A policy iteration algorithm for the American put option and free boundary control problems (Q1989210) (← links)
• Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Wavelet-based option pricing: an empirical study (Q1991243) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate (Q1992683) (← links)
• Option pricing with discrete time jump processes (Q1994170) (← links)
• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach (Q1994245) (← links)
• Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984) (← links)
• Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
• Convergence of the Euler-Maruyama method for CIR model with Markovian switching (Q1998090) (← links)
• Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Affine forward variance models (Q1999593) (← links)
• Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
• Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
• Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
• Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605) (← links)
• An explicit closed-form analytical solution for European options under the CGMY model (Q2004808) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• An alternative form used to calibrate the Heston option pricing model (Q2007219) (← links)
• Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
• Estimating the counterparty risk exposure by using the Brownian motion local time (Q2011920) (← links)
• Understanding delta-hedged option returns in stochastic volatility environments (Q2013296) (← links)
• The waterline tree for separable local-volatility models (Q2013448) (← links)
• Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model (Q2013623) (← links)
• Robust optimal investment and reinsurance problem for a general insurance company under Heston model (Q2014373) (← links)
• An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
• Removing the correlation term in option pricing Heston model: numerical analysis and computing (Q2015262) (← links)
• Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model (Q2015617) (← links)
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model (Q2015626) (← links)
• Pricing variable annuity guarantees in a local volatility framework (Q2015631) (← links)
• Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model (Q2018495) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model (Q2020524) (← links)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
• Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
• Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)