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.
- Simulation-Based Estimation Methods for Financial Time Series Models (Q3112468) (← links)
- Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) (← links)
- Some results on Parisian walks (Q3121369) (← links)
- Uncertain Volatility Models with Stochastic Bounds (Q3122062) (← links)
- Information arrival as price jumps (Q3145035) (← links)
- Boundary conditions for computing densities in hybrid models via PDE methods (Q3145084) (← links)
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (Q3145420) (← links)
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742) (← links)
- EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
- ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL (Q3166710) (← links)
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps (Q3174919) (← links)
- A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
- An Explicit Solution for Optimal Investment in Heston Model (Q3178733) (← links)
- Equity with Markov-modulated dividends (Q3182645) (← links)
- Sato processes and the valuation of structured products (Q3182646) (← links)
- Risk minimization in stochastic volatility models: model risk and empirical performance (Q3182745) (← links)
- Pseudospectral methods for pricing options (Q3182746) (← links)
- Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative (Q3190718) (← links)
- Stationarity and Ergodicity for an Affine Two-Factor Model (Q3191827) (← links)
- Optimal Strategies for a Long-Term Static Investor (Q3191881) (← links)
- Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices (Q3193137) (← links)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
- TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
- Perturbations of local maxima and comparison principles for boundary-degenerate linear differential equations (Q3298964) (← links)
- Perpetual American vanilla option pricing under single regime change risk: an exhaustive study (Q3301076) (← links)
- A generalized Fourier transform approach to risk measures (Q3301115) (← links)
- Coupled nonlinear stochastic differential equations generating arbitrary distributed observable with 1/f noise (Q3302604) (← links)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES (Q3304210) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- On the discretization schemes for the CIR (and Bessel squared) processes (Q3367271) (← links)
- Functional quantization for numerics with an application to option pricing (Q3367274) (← links)
- A NEW METHOD OF PRICING LOOKBACK OPTIONS (Q3370588) (← links)
- Calibration of the SABR Model in Illiquid Markets (Q3375372) (← links)
- On non-Gaussianity and dependence in financial time series: a nonextensive approach (Q3375389) (← links)
- Moment swaps (Q3375396) (← links)
- Valuation of volatility derivatives as an inverse problem (Q3375397) (← links)
- A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL (Q3379411) (← links)
- Difference Equation Theory Meets Mathematical Finance (Q3387111) (← links)
- European option under a skew version of the GBM model with transaction costs by an RBF method (Q3389651) (← links)
- Auxiliary Likelihood-Based Approximate Bayesian Computation in State Space Models (Q3391261) (← links)
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES (Q3393970) (← links)
- Trader Behavior and its Effect on Asset Price Dynamics (Q3395725) (← links)
- An analytic approximation of the likelihood function for the Heston model volatility estimation problem (Q3395736) (← links)
- CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (Q3400133) (← links)
- Arbitrage-free smoothing of the implied volatility surface (Q3404099) (← links)
- Multiple stochastic volatility extension of the Libor market model and its implementation (Q3405598) (← links)
- Asymptotic error distribution of the Euler method for SDEs with non-Lipschitz coefficients (Q3405600) (← links)
- PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS (Q3423401) (← links)
