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.

• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416) (← links)
• Generalisation of fractional Cox-Ingersoll-Ross process (Q2674613) (← links)
• Quasi-hyperbolic discounting under recursive utility and consumption-investment decisions (Q2675417) (← links)
• The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
• Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
• Derivatives of feed-forward neural networks and their application in real-time market risk management (Q2676274) (← links)
• Fractional Liu uncertain differential equation and its application to finance (Q2680010) (← links)
• The Heston stochastic volatility model has a boundary trace at zero volatility (Q2680218) (← links)
• Reconstruction of local volatility surface from American options (Q2681231) (← links)
• A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
• A simple joint model for returns, volatility and volatility of volatility (Q2682964) (← links)
• Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130) (← links)
• A spectral surrogate model for stochastic simulators computed from trajectory samples (Q2686878) (← links)
• Fourier inversion formulas for multiple-asset option pricing (Q2687888) (← links)
• Optimal collective investment: an analysis of individual welfare (Q2690074) (← links)
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368) (← links)
• A Stackelberg reinsurance-investment game under Heston's stochastic volatility model (Q2691386) (← links)
• Pricing vulnerable fader options under stochastic volatility models (Q2691481) (← links)
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences (Q2691482) (← links)
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data (Q2691639) (← links)
• Equilibrium pricing of currency options under a discontinuous model in a two-country economy (Q2691653) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• Dissecting skewness under affine jump-diffusions (Q2697094) (← links)
• Bias reduction in spot volatility estimation from options (Q2697974) (← links)
• Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
• Ulam-Hyers stability of Caputo-type fractional fuzzy stochastic differential equations with delay (Q2698390) (← links)
• Learning for infinitely divisible GARCH models in option pricing (Q2699614) (← links)
• CVA in fractional and rough volatility models (Q2700343) (← links)
• Performance of advanced stock price models when it becomes exotic: an empirical study (Q2701104) (← links)
• Computation of volatility in stochastic volatility models with high frequency data (Q2786036) (← 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)
• Comment on: A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model (Q2786212) (← links)
• Exact pricing with stochastic volatility and jumps (Q2786345) (← links)
• Uniform approximation of the Cox-Ingersoll-Ross process (Q2786430) (← links)
• Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
• Multilevel Preconditioning for Variational Problems (Q2790390) (← links)
• An Improved Test for Continuous Local Martingales (Q2792264) (← links)
• Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise (Q2792279) (← links)
• Pricing CoCos with a Market Trigger (Q2801794) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• Adaptive finite differences and IMEX time-stepping to price options under Bates model (Q2804503) (← links)
• Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model (Q2804505) (← links)
• A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
• A boundary element approach to barrier option pricing in Black–Scholes framework (Q2804924) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• A system of non-local parabolic PDE and application to option pricing (Q2821911) (← links)
• General smile asymptotics with bounded maturity (Q2832614) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• Pricing European and American options in the Heston model with accelerated explicit finite differencing methods (Q2841332) (← links)