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 optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility (Q2088149) (← links)
• Heston-GA hybrid option pricing model based on ResNet50 (Q2088431) (← links)
• A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801) (← links)
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813) (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• Retrodicting with the truncated Lévy flight (Q2094520) (← links)
• A semi-Lagrangian mixed finite element method for advection-diffusion variational inequalities (Q2095644) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach (Q2096151) (← links)
• Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities (Q2096155) (← links)
• Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps (Q2097471) (← links)
• Competitive equilibriums and social shaping for multi-agent systems (Q2097843) (← links)
• Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications (Q2098012) (← links)
• Lookback option pricing under the double Heston model using a deep learning algorithm (Q2099529) (← links)
• An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model (Q2100206) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Numerical techniques for determining implied volatility in option pricing (Q2104087) (← links)
• The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
• Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
• A closed-form pricing formula for European options under a new three-factor stochastic volatility model with regime switching (Q2111571) (← links)
• Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations (Q2111576) (← links)
• Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
• The drift burst hypothesis (Q2116347) (← links)
• To expand and to abandon: real options under asset variance risk premium (Q2116895) (← links)
• Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (Q2119814) (← links)
• Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach (Q2123691) (← links)
• Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475) (← links)
• A class of fourth-order Padé schemes for fractional exotic options pricing model (Q2127533) (← links)
• Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations (Q2127812) (← links)
• Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)
• ELS pricing and hedging in a fractional Brownian motion environment (Q2128261) (← links)
• Stochastic pricing formulation for hybrid equity warrants (Q2129745) (← links)
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
• A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← links)
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
• Measuring systematic risk with neural network factor model (Q2137662) (← links)
• Model order reduction for the simulation of parametric interest rate models in financial risk analysis (Q2138212) (← links)
• Forecasting the crude oil prices based on econophysics and Bayesian approach (Q2139336) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• Computational analysis of the behavior of stochastic volatility models with financial applications (Q2141573) (← links)
• Bypassing the truncation problem of truncated Lévy flights (Q2141866) (← links)
• From a stochastic model of economic exchange to measures of inequality (Q2141869) (← links)
• Combined multiplicative-Heston model for stochastic volatility (Q2143315) (← links)
• Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688) (← links)
• Expressions of forward starting option price in Hull-White stochastic volatility model (Q2145694) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
• Inhomogeneous affine Volterra processes (Q2145777) (← links)
• Pricing vulnerable options with stochastic volatility (Q2147889) (← links)
• Estimation and prediction under local volatility jump-diffusion model (Q2148668) (← links)