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.
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139) (← links)
- A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
- Hedging efficiently under correlation (Q4555159) (← links)
- Backward simulation methods for pricing American options under the CIR process (Q4555172) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (Q4555849) (← links)
- CATASTROPHE INSURANCE DERIVATIVES PRICING USING A COX PROCESS WITH JUMP DIFFUSION CIR INTENSITY (Q4555851) (← links)
- OPTION PRICING UNDER THE KOBOL MODEL (Q4556429) (← links)
- Dynamic Index Tracking and Risk Exposure Control Using Derivatives (Q4559474) (← links)
- Intrinsic stochastic differential equations as jets (Q4559539) (← links)
- Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326) (← links)
- Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (Q4560327) (← links)
- Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
- The Gärtner-Ellis Theorem, Homogenization, and Affine Processes (Q4560336) (← links)
- Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
- On Singularities in the Heston Model (Q4560340) (← links)
- On the Probability Density Function of Baskets (Q4560341) (← links)
- Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
- Optimal Stopping and Reselling of European Options (Q4562221) (← links)
- Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
- 2D Gauss-Hermite Quadrature Method for Jump-Diffusion PIDE Option Pricing Models (Q4562628) (← links)
- Volatility Targeting Using Delayed Diffusions (Q4562721) (← links)
- Optimal reinsurance and investment problem in a defaultable market (Q4563472) (← links)
- CALCULATING VARIABLE ANNUITY LIABILITY “GREEKS” USING MONTE CARLO SIMULATION (Q4563739) (← links)
- FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075) (← links)
- INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL (Q4571695) (← links)
- A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY (Q4571700) (← links)
- FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
- Pricing American call options under a hard-to-borrow stock model (Q4575290) (← links)
- Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)
- Pricing participating policies under the Meixner process and stochastic volatility (Q4577195) (← links)
- A class of nonzero-sum investment and reinsurance games subject to systematic risks (Q4577200) (← links)
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors (Q4579831) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- QUANTO PRICING IN STOCHASTIC CORRELATION MODELS (Q4584705) (← links)
- Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Prices and Asymptotics for Discrete Variance Swaps (Q4585896) (← links)
- Perpetual Options on Multiple Underlyings (Q4585898) (← links)
- Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (Q4585900) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance (Q4586037) (← links)
- Implied Filtering Densities on the Hidden State of Stochastic Volatility (Q4586317) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
- Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
