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.
- Singular risk-neutral valuation equations (Q1761441) (← links)
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
- Rate of convergence for parametric estimation in a stochastic volatility model. (Q1766043) (← links)
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047) (← links)
- Risk premium and fair option prices under stochastic volatility: the HARA solution. (Q1773351) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- Type \(G\) and spherical distributions on \(\mathbb R^d\) (Q1776346) (← links)
- Option pricing, stochastic volatility, singular dynamics and constrained path integrals (Q1782478) (← links)
- Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems (Q1782819) (← links)
- The returns and risks of investment portfolio in a financial market (Q1782838) (← links)
- The fine-structure of volatility feedback. I: Multi-scale self-reflexivity (Q1782966) (← links)
- Variable diffusion in stock market fluctuations (Q1783265) (← links)
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
- A note on the never-early-exercise region of American power exchange options (Q1785486) (← links)
- Chebyshev reduced basis function applied to option valuation (Q1789629) (← links)
- Modeling asset price under two-factor Heston model with jumps (Q1792238) (← links)
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model (Q1792827) (← links)
- CAM stochastic volatility model for option pricing (Q1793313) (← links)
- Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option (Q1793537) (← links)
- Mild solutions to the dynamic programming equation for stochastic optimal control problems (Q1797067) (← links)
- Robust time-inconsistent stochastic control problems (Q1797115) (← links)
- Stochastic volatility effects on correlated log-normal random variables (Q1798473) (← links)
- Valuation of European option under uncertain volatility model (Q1800249) (← links)
- Financial econometrics: Past developments and future challenges (Q1841086) (← links)
- Volatility in financial markets: Stochastic models and empirical results (Q1850396) (← links)
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities (Q1853221) (← links)
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes (Q1873980) (← links)
- Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
- Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
- Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
- A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
- GARCH and irregularly spaced data (Q1929030) (← links)
- Nonparametric estimation of stochastic volatility models (Q1929062) (← links)
- Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes (Q1929374) (← links)
- An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
- Heuristic optimisation in financial modelling (Q1931632) (← links)
- Model checks for the volatility under microstructure noise (Q1932237) (← links)
- A forward-backward SDE approach to affine models (Q1932521) (← links)
- Consumption-portfolio optimization with recursive utility in incomplete markets (Q1936832) (← links)
- Equilibrium exercise of European warrants (Q1937836) (← links)
- Analytical pricing of American options (Q1937837) (← links)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
- Hedging for the long run (Q1938979) (← links)
- Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← links)
- Exact and high-order discretization schemes for Wishart processes and their affine extensions (Q1950261) (← links)
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
- On parameter estimation for critical affine processes (Q1951130) (← links)
- Mixing Monte-Carlo and partial differential equations for pricing options (Q1951209) (← links)
