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.

• A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (Q3606399) (← links)
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models (Q3617304) (← links)
• Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306) (← links)
• VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS (Q3619056) (← links)
• THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (Q3621561) (← links)
• RATE OF CONVERGENCE OF MONTE CARLO SIMULATIONS FOR THE HOBSON–ROGERS MODEL (Q3621565) (← links)
• Solving optimal investment problems with structured products under CVaR constraints (Q3625228) (← links)
• A fourth-order smoothing scheme for pricing barrier options under stochastic volatility (Q3636740) (← links)
• SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL (Q3637881) (← links)
• CONVERGENCE SPEED OF GARCH OPTION PRICE TO DIFFUSION OPTION PRICE (Q3637886) (← links)
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (Q3637887) (← links)
• A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE (Q3648639) (← links)
• Valuing qualitative options with stochastic volatility (Q3650963) (← links)
• DIFFUSION COEFFICIENT ESTIMATION AND ASSET PRICING WHEN RISK PREMIA AND SENSITIVITIES ARE TIME VARYING: A COMMENT (Q4226857) (← links)
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (Q4226865) (← links)
• Weak convergence and distributional assumptions for a general class of nonliner arch models (Q4355166) (← links)
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (Q4372033) (← links)
• PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (Q4419304) (← links)
• Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility (Q4455898) (← links)
• A finite element approach to the pricing of discrete lookbacks with stochastic volatility (Q4541570) (← links)
• Stochastic volatility, smile & asymptotics (Q4541571) (← links)
• Multigrid for American option pricing with stochastic volatility (Q4541576) (← links)
• Passport options with stochastic volatility (Q4541603) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• When do jumps matter for portfolio optimization? (Q4554219) (← links)
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
• On VIX futures in the rough Bergomi model (Q4554409) (← links)
• A new integral equation formulation for American put options (Q4554433) (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
• A dynamic equilibrium model for U-shaped pricing kernels (Q4554467) (← links)
• Volatility is rough (Q4554473) (← links)
• Orthogonal expansions for VIX options under affine jump diffusions (Q4554474) (← links)
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
• Calibration to American options: numerical investigation of the de-Americanization method (Q4554482) (← links)
• Learning minimum variance discrete hedging directly from the market (Q4554484) (← links)
• Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity (Q4554494) (← links)
• Optimal static quadratic hedging (Q4554507) (← links)
• Model risk of contingent claims (Q4554508) (← links)
• Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions (Q4554510) (← links)
• NONPARAMETRIC STOCHASTIC VOLATILITY (Q4554602) (← links)
• Quadratic Hawkes processes for financial prices (Q4555068) (← links)
• Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
• Pricing options on mean reverting underliers (Q4555092) (← links)
• Pricing and hedging contingent claims using variance and higher order moment swaps (Q4555095) (← links)
• Arithmetic variance swaps (Q4555097) (← links)
• Pricing via recursive quantization in stochastic volatility models (Q4555112) (← links)
• Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
• No-arbitrage bounds for the forward smile given marginals (Q4555138) (← links)