Pages that link to "Item:Q2463702"

The following pages link to Moment explosions in stochastic volatility models (Q2463702):

Displaying 38 items.

• A comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• Itô vs Stratonovich in the presence of absorbing states (Q5218774) (← links)
• The principle of not feeling the boundary for the SABR model (Q5234301) (← links)
• Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
• Asymptotics of Forward Implied Volatility (Q5250047) (← links)
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations (Q5256556) (← links)
• Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment (Q5270335) (← links)
• APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
• On refined volatility smile expansion in the Heston model (Q5300441) (← links)
• Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
• From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable (Q5369323) (← links)
• Option pricing under hybrid stochastic and local volatility (Q5397448) (← links)
• Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients (Q5411899) (← links)
• Smile Asymptotics II: Models with Known Moment Generating Functions (Q5459905) (← links)
• Expensive martingales (Q5484645) (← links)
• A Stochastic Volatility Alternative to SABR (Q5504162) (← links)
• The Randomized Heston Model (Q5742496) (← links)
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
• Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics (Q5746758) (← links)
• Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates (Q5886356) (← links)
• Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
• Sandwiched SDEs with unbounded drift driven by Hölder noises (Q6068847) (← links)
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
• Sharp convex generalizations of stochastic Gronwall inequalities (Q6124485) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises (Q6157440) (← links)
• Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)
• A subdiffusive stochastic volatility jump model (Q6166218) (← links)
• A positivity preserving Milstein-type method for stochastic differential equations with positive solutions (Q6572445) (← links)
• A study on asset price bubble dynamics: explosive trend or quadratic variation? (Q6587737) (← links)
• Approximation rates for deep calibration of (rough) stochastic volatility models (Q6606848) (← links)
• Option pricing in sandwiched Volterra volatility model (Q6623043) (← links)
• On pricing of discrete Asian and Lookback options under the Heston model (Q6625112) (← links)
• Estimating option pricing models using a characteristic function-based linear state space representation (Q6664638) (← links)