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.

• The Randomized Heston Model (Q5742496) (← links)
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
• Hybrid Lévy Models: Design and Computational Aspects (Q5742508) (← links)
• Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
• The characteristic function of rough Heston models (Q5743116) (← links)
• On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model (Q5745130) (← links)
• Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637) (← links)
• Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market (Q5745649) (← links)
• Empirical performance of models for barrier option valuation (Q5746738) (← links)
• Derivatives pricing with marked point processes using tick-by-tick data (Q5746746) (← links)
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics (Q5746758) (← links)
• Maximum Principles for Boundary-Degenerate Second Order Linear Elliptic Differential Operators (Q5746975) (← links)
• Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood (Q5852183) (← links)
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model (Q5853625) (← links)
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance (Q5856682) (← links)
• ADI finite difference schemes for option pricing in the Heston model with correlation (Q5862255) (← links)
• ANALYTIC CALCULATION OF EUROPEAN OPTION PRICING IN STOCHASTIC VOLATILITY ASSET MODEL (Q5863383) (← links)
• Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method (Q5864356) (← links)
• A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
• TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS (Q5866180) (← links)
• On the Convexity Correction Approximation in Pricing Volatility Swaps and VIX Futures (Q5874583) (← links)
• Exact first-passage time distributions for three random diffusivity models (Q5876371) (← links)
• WEAK ERROR RATES FOR OPTION PRICING UNDER LINEAR ROUGH VOLATILITY (Q5878691) (← links)
• Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction (Q5879352) (← links)
• Valuation of European Options Under an Uncertain Market Price of Volatility Risk (Q5879358) (← links)
• Forecasting semi-stationary processes and statistical arbitrage (Q5880049) (← links)
• Quasi-maximum likelihood estimation of multivariate diffusions (Q5881686) (← links)
• Utility Maximization in Multivariate Volterra Models (Q5886358) (← links)
• The valuation of timer power options with stochastic volatility (Q5886723) (← links)
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133) (← links)
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. (Q5931564) (← links)
• An equilibrium asset pricing model based on Lévy processes: Relations to stochastic volatility, and the survival hypothesis (Q5938035) (← links)
• Estimation of affine asset pricing models using the empirical characteristic function (Q5939360) (← links)
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134) (← links)
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)
• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
• State price density estimation with an application to the recovery theorem (Q6039126) (← links)
• High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility (Q6040736) (← links)
• On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics (Q6042678) (← links)
• (Q6043631) (← links)
• Data-driven hedging of stock index options via deep learning (Q6047693) (← links)
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost (Q6048447) (← links)
• Signature-Based Models: Theory and Calibration (Q6048449) (← links)
• Large-scale financial planning via a partially observable stochastic dual dynamic programming framework (Q6053114) (← links)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
• Option pricing under stochastic volatility models with latent volatility (Q6053121) (← links)
• Risk‐neutral pricing techniques and examples (Q6054366) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
• Robust replication of volatility and hybrid derivatives on jump diffusions (Q6054385) (← links)