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.

• Calibration of local‐stochastic volatility models by optimal transport (Q6054403) (← links)
• Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
• Consistent time‐homogeneous modeling of SPX and VIX derivatives (Q6054430) (← links)
• Monotone methods in counterparty risk models with nonlinear Black-Scholes-type equations (Q6055837) (← links)
• Sensitivity of option prices via fuzzy Malliavin calculus (Q6058065) (← links)
• Jump‐robust testing of volatility functions in continuous time models (Q6059411) (← links)
• Distributional properties of continuous time processes: from CIR to bates (Q6065669) (← links)
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions (Q6067798) (← links)
• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders (Q6070669) (← links)
• An advanced numerical scheme for multi-dimensional stochastic Kolmogorov equations with superlinear coefficients (Q6073172) (← links)
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
• Implied higher order moments in the Heston model: a case study of S\&P500 index (Q6089406) (← links)
• Valuing of timer path-dependent options (Q6089609) (← links)
• Joint pricing and quality decision model under stochastic reference quality effect (Q6092605) (← links)
• Arbitrage-Free Neural-SDE Market Models (Q6092913) (← links)
• Novel computational technique for the direct estimation of risk-neutral density using call price data quotes (Q6095386) (← links)
• CORRELATION ESTIMATION IN HYBRID SYSTEMS (Q6095477) (← links)
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach (Q6098178) (← links)
• Time averaging, ageing and delay analysis of financial time series (Q6098635) (← links)
• Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time (Q6099493) (← links)
• Numerical valuation of European and American options under Merton's model (Q6099987) (← links)
• Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments (Q6100430) (← links)
• The EWMA Heston model (Q6101022) (← links)
• Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023) (← links)
• Empirical deep hedging (Q6101025) (← links)
• Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities (Q6102949) (← links)
• Valuation of barrier and lookback options under hybrid CEV and stochastic volatility (Q6104247) (← links)
• Stochastic local volatility models and the Wei-Norman factorization method (Q6105360) (← links)
• Pricing autocallables under local-stochastic volatility (Q6105374) (← links)
• Option valuation under double exponential jump with stochastic intensity, stochastic interest rates and Markov regime-switching stochastic volatility (Q6106177) (← links)
• A GMM approach to estimate the roughness of stochastic volatility (Q6108276) (← links)
• Accelerated Share Repurchases Under Stochastic Volatility (Q6112768) (← links)
• Hedging Option Books Using Neural-SDE Market Models (Q6112769) (← links)
• Model Order Reduction in Contour Integral Methods for Parametric PDEs (Q6116391) (← links)
• Volatility of volatility and leverage effect from options (Q6118716) (← links)
• ROUGH-HESTON LOCAL-VOLATILITY MODEL (Q6119773) (← links)
• A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump (Q6120406) (← links)
• (Q6122009) (← links)
• Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition (Q6123187) (← links)
• Analytically pricing European options with a two-factor Stein-Stein model (Q6126086) (← links)
• Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets (Q6131470) (← links)
• Bridging stylized facts in finance and data non-stationarities (Q6135233) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)
• The value of expected return persistence (Q6146134) (← links)
• Robustness and sensitivity analyses of rough Volterra stochastic volatility models (Q6146137) (← links)
• Recent advances in reinforcement learning in finance (Q6146668) (← links)
• Noncausal affine processes with applications to derivative pricing (Q6146675) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Financial activity time (Q6147107) (← links)
• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management (Q6148805) (← links)