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 comparison of biased simulation schemes for stochastic volatility models (Q5190133) (← links)
• MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX (Q5198953) (← links)
• HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS (Q5198954) (← links)
• NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
• OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS (Q5207496) (← links)
• Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
• Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
• Numerical inverse Laplace transform for convection-diffusion equations (Q5216726) (← links)
• Simulating random variables using moment-generating functions and the saddlepoint approximation (Q5219231) (← links)
• Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options (Q5219504) (← links)
• Estimating Heston's and Bates’ models parameters using Markov chain Monte Carlo simulation (Q5220864) (← links)
• Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps (Q5220943) (← links)
• BRANCHING PARTICLE PRICERS WITH HESTON EXAMPLES (Q5221479) (← links)
• ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS (Q5221481) (← links)
• Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate (Q5225364) (← links)
• Variational Formulation of American Option Prices in the Heston Model (Q5227407) (← links)
• On Upper Functions for Anomalous Diffusions Governed by Time-Varying Ornstein--Uhlenbeck Process (Q5232087) (← links)
• Exponential ergodicity of an affine two-factor model based on the α-root process (Q5233204) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297) (← links)
• A self-exciting switching jump diffusion: properties, calibration and hitting time (Q5234300) (← links)
• Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308) (← links)
• Generative Bayesian neural network model for risk-neutral pricing of American index options (Q5234315) (← links)
• Building multivariate Sato models with linear dependence (Q5234317) (← links)
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution (Q5234329) (← links)
• A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures (Q5234378) (← links)
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
• On the multi-dimensional portfolio optimization with stochastic volatility (Q5236140) (← links)
• CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL (Q5237548) (← links)
• Volatility and dividend risk in perpetual American options (Q5239351) (← links)
• The probability distribution of returns in the exponential Ornstein–Uhlenbeck model (Q5239449) (← links)
• Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing (Q5241903) (← links)
• Momentum and reversion in risk neutral martingale probabilities (Q5245350) (← links)
• Bayesian testing volatility persistence in stochastic volatility models with jumps (Q5245900) (← links)
• Numerical solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Levy market (Q5245903) (← links)
• Modelling the rebalancing slippage of leveraged exchange-traded funds (Q5245908) (← links)
• An optimal investment model with Markov-driven volatilities (Q5245919) (← links)
• Bayesian testing for jumps in stochastic volatility models with correlated jumps (Q5247227) (← links)
• Dynamic option hedging via stochastic model predictive control based on scenario simulation (Q5247231) (← links)
• Pricing of geometric Asian options under Heston's stochastic volatility model (Q5247235) (← links)
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
• Comparison of methods to estimate option implied risk-neutral densities (Q5247238) (← links)
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results (Q5247272) (← links)
• A chaos expansion approach under hybrid volatility models (Q5247273) (← links)
• Estimate nothing (Q5247922) (← links)
• Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
• Asymptotics of Forward Implied Volatility (Q5250047) (← links)
• Approximate solutions to second order parabolic equations. I: Analytic estimates (Q5253970) (← links)
• NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS (Q5256840) (← links)