Pages that link to "Item:Q4812839"

The following pages link to Stochastic Volatility for Lévy Processes (Q4812839):

Displaying 50 items.

• Additive logistic processes in option pricing (Q2238772) (← links)
• Modelling tail risk with tempered stable distributions: an overview (Q2241120) (← links)
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
• Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option (Q2290998) (← links)
• A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation (Q2294509) (← links)
• Inference for local distributions at high sampling frequencies: a bootstrap approach (Q2295798) (← links)
• A preconditioning technique for all-at-once system from the nonlinear tempered fractional diffusion equation (Q2307430) (← links)
• Parameter estimation for ARTFIMA time series (Q2317279) (← links)
• The asymptotic behaviour of fractional lattice systems with variable delay (Q2328631) (← links)
• Valuation of an option using non-parametric methods (Q2328782) (← links)
• Numerical approximations for the tempered fractional Laplacian: error analysis and applications (Q2333710) (← links)
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)
• Pricing Parisian option under a stochastic volatility model (Q2336869) (← links)
• Malliavin calculus approach to statistical inference for Lévy driven SDE's (Q2340302) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• The fine structure of equity-index option dynamics (Q2347729) (← links)
• Lévy processes driven by stochastic volatility (Q2372257) (← links)
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (Q2391871) (← links)
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension (Q2393159) (← links)
• On CSCS-based iteration method for tempered fractional diffusion equations (Q2396901) (← links)
• Dimension reduction for pricing options under multidimensional Lévy processes (Q2398582) (← links)
• Numerical simulation of a finite moment log stable model for a European call option (Q2407863) (← links)
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns (Q2430251) (← links)
• BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
• Efficient learning via simulation: a marginalized resample-move approach (Q2442455) (← links)
• Pricing average options under time-changed Lévy processes (Q2447509) (← links)
• Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704) (← links)
• Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)
• On a class of Lévy processes (Q2489844) (← links)
• Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
• On a Heath-Jarrow-Morton approach for stock options (Q2516770) (← links)
• Forward equations for option prices in semimartingale models (Q2516772) (← links)
• Activity signature functions for high-frequency data analysis (Q2630154) (← links)
• Probing option prices for information (Q2642481) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• Closed-form formulae for European options under three-factor models (Q2660490) (← links)
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
• Exchangeable min-id sequences: characterization, exponent measures and non-decreasing id-processes (Q2688196) (← links)
• On the estimation of regime-switching Lévy models (Q2691688) (← links)
• Bias reduction in spot volatility estimation from options (Q2697974) (← links)
• Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
• Performance of advanced stock price models when it becomes exotic: an empirical study (Q2701104) (← links)
• Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
• Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (Q2786208) (← links)
• Leveraged Lévy processes as models for stock prices (Q2786277) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• Multivariate subordination of Markov processes with financial applications (Q2831000) (← links)