Pages that link to "Item:Q2425554"
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The following pages link to Option pricing when correlations are stochastic: an analytical framework (Q2425554):
Displaying 30 items.
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
- Marginal consistent dependence modelling using weak subordination for Brownian motions (Q4619532) (← links)
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
- WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (Q4902547) (← links)
- THE WISHART SHORT RATE MODEL (Q4909141) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- The multivariate Variance Gamma model: basket option pricing and calibration (Q5001151) (← links)
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
- Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Algorithm 963 (Q5270763) (← links)
- Long-Term Optimal Investment in Matrix Valued Factor Models (Q5280243) (← links)
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps (Q5373914) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
- Matrix Poincaré, Φ-Sobolev inequalities, and quantum ensembles (Q5379353) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
- Pricing of mountain range derivatives under a principal component stochastic volatility model (Q5414524) (← links)
- Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
- Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352) (← links)
- The Laplace transform of the integrated Volterra Wishart process (Q6054411) (← links)
- A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)
- Infinite-dimensional Wishart processes (Q6620091) (← links)
- Efficient pricing and calibration of high-dimensional basket options (Q6625110) (← links)
- Pricing exchange options under hybrid stochastic volatility and interest rate models (Q6653510) (← links)
