Pages that link to "Item:Q5374080"
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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.
- Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977) (← links)
- Designing sound deposit insurances (Q2402397) (← links)
- Pricing collar options with stochastic volatility (Q2403864) (← links)
- On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909) (← links)
- High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
- Parametric inference of autoregressive heteroscedastic models with errors in variables (Q2407522) (← links)
- Numerical simulation of a finite moment log stable model for a European call option (Q2407863) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- Hedging under generalized good-deal bounds and model uncertainty (Q2408899) (← links)
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
- A general closed form option pricing formula (Q2418424) (← links)
- Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
- Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)
- Dynamic pricing with stochastic reference price effect (Q2422611) (← links)
- An extension of Heston's SV model to stochastic interest rates (Q2423541) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Nonparametric estimation for stochastic volatility models (Q2430253) (← links)
- Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
- BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
- The Heston Riemannian distance function (Q2436820) (← links)
- Schauder a priori estimates and regularity of solutions to boundary-degenerate elliptic linear second-order partial differential equations (Q2436989) (← links)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model (Q2438502) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions (Q2439860) (← links)
- Pricing barrier options under stochastic volatility framework (Q2440325) (← links)
- Ambiguous volatility, possibility and utility in continuous time (Q2441233) (← links)
- Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
- Efficient learning via simulation: a marginalized resample-move approach (Q2442455) (← links)
- Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
- Pricing European options on deferred annuities (Q2442531) (← links)
- On an implicit assessment of fuzzy volatility in the Black and Scholes environment (Q2445432) (← links)
- Estimation of parametric homogeneous stochastic volatility pricing formulae based on option data (Q2446249) (← links)
- Quantifying credit and market risk under Solvency II: standard approach versus internal model (Q2447420) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- Parameter estimation for a subcritical affine two factor model (Q2454021) (← links)
- Approximate inversion of the Black-Scholes formula using rational functions (Q2455635) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
- Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)
- Fourier transformation and the pricing of average-rate derivatives (Q2466427) (← links)
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison (Q2466454) (← links)
- An inverse problem of determining the implied volatility in option pricing (Q2467746) (← links)
- Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion (Q2470214) (← links)
- Estimation and prediction of a non-constant volatility (Q2471733) (← links)
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
- Structure preserving stochastic integration schemes in interest rate derivative modeling (Q2479422) (← links)
- Properties of a simple bilinear stochastic model: Estimation and predictability (Q2482024) (← links)
- A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
