Pages that link to "Item:Q2463702"

The following pages link to Moment explosions in stochastic volatility models (Q2463702):

Displaying 50 items.

• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
• Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828) (← links)
• Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
• Moment explosions in the rough Heston model (Q2292054) (← links)
• Pricing Parisian option under a stochastic volatility model (Q2336869) (← links)
• A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
• A new approach for option pricing under stochastic volatility (Q2425553) (← links)
• Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
• On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
• On the density of log-spot in the Heston volatility model (Q2638360) (← links)
• Pricing longevity derivatives via Fourier transforms (Q2656990) (← links)
• Parameter estimation in CKLS model by continuous observations (Q2667620) (← links)
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
• General smile asymptotics with bounded maturity (Q2832614) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
• A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692) (← links)
• The term structure of implied volatility in symmetric models with applications to Heston (Q2909510) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
• Small-Time Asymptotics of Option Prices and First Absolute Moments (Q3108470) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• Stationarity and Ergodicity for an Affine Two-Factor Model (Q3191827) (← links)
• Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• REGULAR VARIATION AND SMILE ASYMPTOTICS (Q3608732) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
• On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
• Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
• Eurodollar futures pricing in log-normal interest rate models in discrete time (Q4585685) (← links)
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
• Evaluating discrete dynamic strategies in affine models (Q4683013) (← links)
• Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model (Q4683077) (← links)
• Multiscale methods for the valuation of American options with stochastic volatility (Q4903541) (← links)
• SERIES EXPANSION OF THE SABR JOINT DENSITY (Q4906532) (← links)
• PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (Q5120710) (← links)
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
• A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
• APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)