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.

• Estimation of parameters of the Samuelson model with telegraph drift (Q328745) (← links)
• Empirical analysis of structural change in credit default swap volatility (Q336123) (← links)
• Strategic real options with stochastic volatility in a duopoly model (Q336214) (← links)
• Investment timing under hybrid stochastic and local volatility (Q340490) (← links)
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• A multivariate stochastic unit root model with an application to derivative pricing (Q341897) (← links)
• Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
• Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
• Stochastic covariance and dimension reduction in the pricing of basket options (Q345719) (← links)
• Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
• Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
• The evaluation of barrier option prices under stochastic volatility (Q356102) (← links)
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137) (← links)
• A new exact solution for pricing European options in a two-state regime-switching economy (Q356242) (← links)
• Option price with stochastic volatility for both fast and slow mean-reverting regimes (Q357435) (← links)
• Multidimensional structural credit modeling under stochastic volatility (Q361588) (← links)
• Capturing parameter risk with convex risk measures (Q362040) (← links)
• Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) (← links)
• An empirical comparison of two stochastic volatility models using Indian market data (Q370874) (← links)
• Exact solutions for bond and option prices with systematic jump risk (Q375236) (← links)
• Index-option pricing with stochastic volatility and the value of accurate variance forecasts (Q375251) (← links)
• American stochastic volatility call option pricing: a lattice based approach (Q375256) (← links)
• Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
• Calibration and hedging under jump diffusion (Q375525) (← links)
• Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540) (← links)
• A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
• Local volatility of volatility for the VIX market (Q385648) (← links)
• A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
• A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients (Q389738) (← links)
• Goodness-of-fit test for stochastic volatility models (Q391575) (← links)
• Existence of financial equilibria in continuous time with potentially complete markets (Q392665) (← links)
• The Riccati system and a diffusion-type equation (Q401969) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
• Stability of central finite difference schemes for the Heston PDE (Q415346) (← links)
• A remark on Lin and Chang's paper `consistent modeling of S\&P 500 and VIX derivatives' (Q419485) (← links)
• Rejoinder to a remark on Lin and Chang's paper `Consistent modeling of S\&P 500 and VIX derivatives' (Q419488) (← links)
• A boundary element method to price time-dependent double barrier options (Q426959) (← links)
• The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility (Q428367) (← links)
• 2-microlocal analysis of martingales and stochastic integrals (Q429291) (← links)
• Parameter identification in financial market models with a feasible point SQP algorithm (Q429503) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
• Ergodic approximation of the distribution of a stationary diffusion: rate of convergence (Q433906) (← links)
• A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
• Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients (Q435852) (← links)
• Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
• Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
• Filtering a nonlinear stochastic volatility model (Q437251) (← links)