Pages that link to "Item:Q4825509"

The following pages link to Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509):

Displaying 50 items.

• Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
• Modeling the variance risk premium of equity indices: the role of dependence and contagion (Q2813080) (← links)
• Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing (Q2814674) (← links)
• Pricing of quanto option under the Hull and White stochastic volatility model (Q2851116) (← links)
• The affine LIBOR models (Q2851558) (← links)
• Measuring expectations in options markets: an application to the S&P500 index (Q2866371) (← links)
• Options on realized variance and convex orders (Q2866381) (← links)
• Risky Asset Models with Tempered Stable Fractal Activity Time (Q2875522) (← links)
• Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
• Fractal Activity Time Models for Risky Asset with Dependence and Generalized Hyperbolic Distributions (Q2893289) (← links)
• A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS (Q2953304) (← links)
• The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
• Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
• Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models (Q3019508) (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
• THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748) (← links)
• PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749) (← links)
• The Minimal Entropy Martingale Measure and Numerical Option Pricing for the Barndorff–Nielsen–Shephard Stochastic Volatility Model (Q3182399) (← links)
• Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
• Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case (Q3435398) (← links)
• QUADRATIC HEDGING FOR THE BATES MODEL (Q3502983) (← links)
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity (Q3552628) (← links)
• Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model (Q3585334) (← links)
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (Q4409028) (← links)
• Constant proportion portfolio insurance strategies in contagious markets (Q4554427) (← links)
• Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
• Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: Stationarity versus nonstationarity (Q4601375) (← links)
• Local Risk-Minimization for Barndorff-Nielsen and Shephard Models with Volatility Risk Premium (Q4604739) (← links)
• (Q4624345) (← links)
• Some recent developments in stochastic volatility modelling (Q4646765) (← links)
• Understanding option prices (Q4647596) (← links)
• Structure-preserving equivalent martingale measures for ℋ-SII models (Q4684922) (← links)
• Stochastic Volatility for Lévy Processes (Q4812839) (← links)
• Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
• Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444) (← links)
• Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
• Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection (Q4994675) (← links)
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
• Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme (Q5014247) (← links)
• APPROXIMATE OPTION PRICING FORMULA FOR BARNDORFF-NIELSEN AND SHEPHARD MODEL (Q5066302) (← links)
• Option pricing: the reduced-form SDE model (Q5072126) (← links)
• APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
• Additive Processes with Bilateral Gamma Marginals (Q5149265) (← links)
• (Q5194207) (← links)
• Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
• PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
• Stackelberg equilibria in a continuous-time vertical contracting model with uncertain demand and delayed information (Q5245626) (← links)
• Stochastic Volatility Models and Option Prices (Q5301479) (← links)
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (Q5351667) (← links)
• Simultaneous determination of the drift and diffusion coefficients in stochastic differential equations (Q5368860) (← links)