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.

• BAYESIAN INFERENCE, PRIOR INFORMATION ON VOLATILITY, AND OPTION PRICING: A MAXIMUM ENTROPY APPROACH (Q4675829) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477) (← links)
• Stochastic Models for Oil Prices and the Pricing of Futures on Oil (Q4682479) (← links)
• ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
• Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) (← links)
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
• Evaluating discrete dynamic strategies in affine models (Q4683013) (← links)
• Implied integrated variance and hedging (Q4683083) (← links)
• A practical approach to semideviation and its time scaling in a jump-diffusion process (Q4683098) (← links)
• A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting (Q4683117) (← links)
• AMF-type W-methods for Parabolic Problems with Mixed Derivatives (Q4683933) (← links)
• Structure-preserving equivalent martingale measures for ℋ-SII models (Q4684922) (← links)
• Weighted least-squares estimation for the subcritical Heston process (Q4684958) (← links)
• Weak solution of stochastic differential equations with fractional diffusion coefficient (Q4685691) (← links)
• The Heston stochastic volatility model in Hilbert space (Q4685702) (← links)
• Stochastic differential equations with generalized stochastic volatility and statistical estimators (Q4686483) (← links)
• A semi-martingale representation for a semi-Markov chain with application to finance (Q4686487) (← links)
• The Dynamic Correlation Model and Its Application to the Heston Model (Q4689924) (← links)
• Stochastic Volatility for Lévy Processes (Q4812839) (← links)
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
• Power variation and stochastic volatility: a review and some new results (Q4822456) (← links)
• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509) (← links)
• Simulated Likelihood Approximations for Stochastic Volatility Models (Q4828198) (← links)
• Adaptative Monte Carlo Method, A Variance Reduction Technique (Q4831807) (← links)
• Realistic Statistical Modelling of Financial Data (Q4831974) (← links)
• AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
• EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
• WORST-OF OPTIONS AND CORRELATION SKEW UNDER A STOCHASTIC CORRELATION FRAMEWORK (Q4902547) (← links)
• A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility (Q4903539) (← links)
• Multiscale methods for the valuation of American options with stochastic volatility (Q4903541) (← links)
• Computation of the effects of uncertainty in volatility on option pricing and hedging (Q4903549) (← links)
• A Multiresolution Method for Parameter Estimation of Diffusion Processes (Q4904733) (← links)
• HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING (Q4909144) (← links)
• ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238) (← links)
• PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298) (← links)
• Methodology for stochastic volatility process calibration application to the CAC 40 index (Q4922640) (← links)
• On VIX futures in the rough Bergomi model (Q4957230) (← links)
• Pricing American options by exercise rate optimization (Q4957236) (← links)
• Testing for jumps based on high-frequency data: a method exploiting microstructure noise (Q4957240) (← links)
• Brownian motion under dynamic disorder: effects of memory on the decay of the non-Gaussianity parameter (Q4964512) (← links)
• On the consistency of Sobol indices with respect to stochastic ordering of model parameters (Q4967804) (← links)
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) (← links)
• The Estimation of Leverage Effect With High-Frequency Data (Q4975343) (← links)
• Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303) (← links)
• Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models (Q4976502) (← links)
• VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (Q4979882) (← links)
• Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model (Q4986444) (← links)