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.
- Stochastic volatility models and the pricing of VIX options (Q2847239) (← links)
- Cubature Methods and Applications (Q2847839) (← links)
- Exact propagator for a Fokker-Planck equation, first passage time distribution, and anomalous diffusion (Q2849724) (← links)
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
- Commodity price dynamics and derivative valuation: a review (Q2862510) (← links)
- Pricing exotic options using MSL-MC (Q2866370) (← links)
- Riding on the smiles (Q2866376) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
- Options on realized variance and convex orders (Q2866381) (← links)
- General approximation schemes for option prices in stochastic volatility models (Q2869978) (← links)
- The reactive volatility model (Q2871420) (← links)
- Smooth and bid-offer compliant volatility surfaces under general dividend streams (Q2871432) (← links)
- Nonlinear problems modeling stochastic volatility and transaction costs (Q2873038) (← links)
- Option pricing for GARCH-type models with generalized hyperbolic innovations (Q2873536) (← links)
- A class of stochastic volatility models and the<i>q</i>-optimal martingale measure (Q2873538) (← links)
- Statistical signatures in times of panic: markets as a self-organizing system (Q2873556) (← links)
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
- Closed-form approximation of perpetual timer option prices (Q2874732) (← links)
- Boundary evolution equations for American options (Q2875727) (← links)
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results (Q2878817) (← links)
- Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
- Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility (Q2879036) (← links)
- Stochastic volatility for interest rate derivatives (Q2879042) (← links)
- A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692) (← links)
- The S&P 500 Index as a Sato Process Travelling at the Speed of the VIX (Q2889585) (← links)
- Arithmetic Asian Options under Stochastic Delay Models (Q2889598) (← links)
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture (Q2892978) (← links)
- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment (Q2892981) (← links)
- Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
- Stochastic volatility models including open, close, high and low prices (Q2893203) (← links)
- Discrete sine transform for multi-scale realized volatility measures (Q2893209) (← links)
- Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← links)
- Calibration of a Jump-Diffusion Process Using Optimal Control (Q2897267) (← links)
- On the Stability of a Compact Finite Difference Scheme for Option Pricing (Q2905430) (← links)
- The term structure of implied volatility in symmetric models with applications to Heston (Q2909510) (← links)
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517) (← links)
- Stochastic Volatility and Multifractional Brownian Motion (Q2914791) (← links)
- Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
- American Option Valuation with Particle Filters (Q2917425) (← links)
- Optimal Hedging of American Options in Discrete Time (Q2917430) (← links)
- The explicit Laplace transform for the Wishart process (Q2923426) (← links)
- Limit theorems for a Cox-Ingersoll-Ross process with Hawkes jumps (Q2923430) (← links)
- A closed-form pricing formula for variance swaps with mean-reverting Gaussian volatility (Q2925697) (← links)
- Conditional Sampling for Barrier Option Pricing Under the Heston Model (Q2926217) (← links)
- A simple closed-form formula for pricing discretely-sampled variance swaps under the Heston model (Q2929384) (← links)
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944) (← links)
- ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION (Q2939926) (← links)
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
- Consistent Pricing of Options on Leveraged ETFs (Q2941473) (← links)
- Reduced Basis Methods for Pricing Options with the Black--Scholes and Heston Models (Q2941477) (← links)
