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.

• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
• On the martingale problem for degenerate-parabolic partial differential operators with unbounded coefficients and a mimicking theorem for Itô processes (Q2944909) (← links)
• Numerical approximations of stochastic differential equations with non-globally Lipschitz continuous coefficients (Q2944996) (← links)
• On the Regularities of Mass Random Phenomena (Q2950129) (← links)
• Reduction and reconstruction of stochastic differential equations via symmetries (Q2951770) (← links)
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
• An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients (Q2953948) (← links)
• Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises (Q2956066) (← links)
• Pricing Options with Hybrid Stochastic Volatility Models (Q2958817) (← links)
• Delay Stochastic Models in Finance (Q2958818) (← links)
• Pricing European Options Under Stochastic Volatilities Models (Q2960559) (← links)
• The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
• ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion (Q2970122) (← links)
• COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
• Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods (Q2973368) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• Coherent global market simulations and securitization measures for counterparty credit risk (Q2994850) (← links)
• Multivariate asset price dynamics with stochastic covariation (Q2994859) (← links)
• Variance-Optimal Hedging for Time-Changed Lévy Processes (Q3004473) (← links)
• A Time-Dependent Variance Model for Pricing Variance and Volatility Swaps (Q3004475) (← links)
• Calibration of Stock Betas from Skews of Implied Volatilities (Q3004479) (← links)
• Filtering of a Multi-Dimension Stochastic Volatility Model (Q3005154) (← links)
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (Q3005360) (← links)
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model (Q3005361) (← links)
• Weak and strong Taylor methods for numerical solutions of stochastic differential equations (Q3005813) (← links)
• Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions (Q3007038) (← links)
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
• An empirical analysis of the volatility of the Japanese stock price index: a non-parametric approach (Q3019487) (← links)
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES (Q3022053) (← links)
• STOCHASTIC VOLATILITY (Q3022059) (← links)
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
• OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET (Q3023916) (← links)
• An optimal portfolio problem in a defaultable market (Q3059692) (← links)
• Markov models for commodity futures: theory and practice (Q3063849) (← links)
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
• VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE (Q3067166) (← links)
• OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL (Q3067763) (← links)
• ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY (Q3067767) (← links)
• Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models (Q3075290) (← links)
• A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)
• Calibration of financial models using quasi-Monte Carlo (Q3087042) (← links)
• PRICING DIGITAL OUTPERFORMANCE OPTIONS WITH UNCERTAIN CORRELATION (Q3094328) (← links)
• On the solution of complementarity problems arising in American options pricing (Q3096882) (← links)
• THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS (Q3100748) (← links)
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
• Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps (Q3102909) (← links)
• Interest Rate Derivatives Pricing with Volatility Smile (Q3112457) (← links)
• Parametric Estimation of Risk Neutral Density Functions (Q3112461) (← links)