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.
- Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections (Q5259080) (← links)
- Analytical Expansions for Parabolic Equations (Q5264986) (← links)
- AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241) (← links)
- American option valuation in a stochastic volatility model with transaction costs (Q5265796) (← links)
- Laplace transform approach to option pricing for time-changed Brownian models (Q5267902) (← links)
- An Interpolation-Based Approach to American Put Option Pricing (Q5268909) (← links)
- Algorithm 963 (Q5270763) (← links)
- APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (Q5292283) (← links)
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355) (← links)
- HEDGING VOLATILITY RISK: THE EFFECTIVENESS OF VOLATILITY OPTIONS (Q5297237) (← links)
- APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY (Q5300024) (← links)
- Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility (Q5300448) (← links)
- First and second moment reversion for a discretized square root process with jumps (Q5305973) (← links)
- ON THE STATISTICAL PHYSICS CONTRIBUTION TO QUANTITATIVE FINANCE (Q5312123) (← links)
- A PDE representation of the density of the minimal entropy martingale measure in stochastic volatility markets (Q5312715) (← links)
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q5324401) (← links)
- An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process (Q5345939) (← links)
- Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model (Q5346007) (← links)
- An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (Q5347524) (← links)
- BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE (Q5357388) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (Q5367499) (← links)
- A NOVEL ANALYTICAL APPROACH FOR PRICING DISCRETELY SAMPLED GAMMA SWAPS IN THE HESTON MODEL (Q5369443) (← links)
- PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE (Q5370796) (← links)
- AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS (Q5370813) (← links)
- Uncertainty Quantification of Derivative Instruments (Q5372104) (← links)
- On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
- Two asset-barrier option under stochastic volatility (Q5373915) (← links)
- SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (Q5377002) (← links)
- VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
- A LOCAL GAUSSIAN BOOTSTRAP METHOD FOR REALIZED VOLATILITY AND REALIZED BETA (Q5378499) (← links)
- Option Pricing with Threshold Diffusion Processes (Q5379177) (← links)
- Impact of Flexible Periodic Premiums on Variable Annuity Guarantees (Q5379207) (← links)
- Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
- Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model (Q5379238) (← links)
- On Carr and Lee’s Correlation Immunization Strategy (Q5382633) (← links)
- Optimal investment strategy for asset-liability management under the Heston model (Q5382938) (← links)
- VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
- EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
- PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER (Q5386315) (← links)
- Malliavin differentiability of the Heston volatility and applications to option pricing (Q5387081) (← links)
- PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
- The dynamics of commodity prices (Q5397404) (← links)
- Variance swap dynamics (Q5397410) (← links)
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
- Risk premiums in a simple market model for implied volatility (Q5397415) (← links)
