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 calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
• A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models (Q2204418) (← links)
• A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
• Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility (Q2205342) (← links)
• On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models (Q2205825) (← links)
• Dynamics of a mean-reverting stochastic volatility equation with regime switching (Q2207789) (← links)
• A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• A note on options and bubbles under the CEV model: implications for pricing and hedging (Q2211013) (← links)
• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach (Q2211014) (← links)
• Option-implied information: What's the vol surface got to do with it? (Q2211017) (← links)
• Levelling the playing field: a VIX-linked structure for funded pension schemes (Q2212140) (← links)
• An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
• \textit{SMART-or} and \textit{SMART-and} fuzzy average operators: a generalized proposal (Q2219361) (← links)
• Optimal portfolio selection of mean-variance utility with stochastic interest rate (Q2220511) (← links)
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
• Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model (Q2223823) (← links)
• Static and dynamic SABR stochastic volatility models: calibration and option pricing using GPUs (Q2227432) (← links)
• A path-independent approach to integrated variance under the CEV model (Q2228592) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
• Optimal reinsurance and investment strategy with delay in Heston's SV model (Q2240102) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• From tick data to semimartingales (Q2240473) (← links)
• Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
• Fair prices under a unified lattice approach for interest rate derivatives (Q2241074) (← links)
• Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} (Q2241076) (← links)
• Volatility in the stock market: ANN versus parametric models (Q2241108) (← links)
• Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach (Q2241128) (← links)
• A collective investment problem in a stochastic volatility environment: the impact of sharing rules (Q2241134) (← links)
• Modelling joint behaviour of asset prices using stochastic correlation (Q2241515) (← links)
• Corrigendum to ``Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model'' (Q2243260) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
• Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility (Q2246975) (← links)
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
• Heston model: the variance swap calibration (Q2247916) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← links)
• On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
• Richter's local limit theorem and Black-Scholes type formulas (Q2251714) (← links)
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (Q2252400) (← links)
• Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
• Option pricing under a normal mixture distribution derived from the Markov tree model (Q2253395) (← links)