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 neural network-based framework for financial model calibration (Q2022121) (← links)
• Change of drift in one-dimensional diffusions (Q2022766) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
• Continuity of utility maximization under weak convergence (Q2024121) (← links)
• Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) (Q2024611) (← links)
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
• Fast reconstruction of time-dependent market volatility for European options (Q2027727) (← links)
• Option pricing with conditional GARCH models (Q2028829) (← links)
• Optimal decision policy for real options under general Markovian dynamics (Q2028909) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• Option valuation under no-arbitrage constraints with neural networks (Q2030534) (← links)
• Diversification with options and structured products (Q2036857) (← links)
• Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses (Q2043194) (← links)
• Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate (Q2044803) (← links)
• Challenges in approximating the Black and Scholes call formula with hyperbolic tangents (Q2044805) (← links)
• A volatility smile-based uncertainty index (Q2045101) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• On the bond pricing partial differential equation in a convergence model of interest rates with stochastic correlation (Q2057871) (← links)
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
• Pricing equity-linked life insurance contracts with multiple risk factors by neural networks (Q2059681) (← links)
• On a high-order Gaussian radial basis function generated Hermite finite difference method and its application (Q2059722) (← links)
• Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← links)
• Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
• Option replication with transaction cost under Knightian uncertainty (Q2066047) (← links)
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) (← links)
• Resonance phenomena in option pricing with arbitrage (Q2067175) (← links)
• Vulnerable options pricing under uncertain volatility model (Q2068116) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Forecasting price of financial market crash via a new nonlinear potential GARCH model (Q2068471) (← links)
• Variance and volatility swaps valuations with the stochastic liquidity risk (Q2068493) (← links)
• Advanced strategies of portfolio management in the Heston market model (Q2069087) (← links)
• Combination of transition probability distribution and stable Lorentz distribution in stock markets (Q2072272) (← links)
• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
• Option pricing under the subordinated market models (Q2073586) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment (Q2076384) (← links)
• Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria (Q2076400) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
• Path integral Monte Carlo method for option pricing (Q2078655) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Price options on investment project expansion under commodity price and volatility uncertainties using a novel finite difference method (Q2079124) (← links)
• Comparing unconstrained parametrization methods for return covariance matrix prediction (Q2084329) (← links)
• 3-additive linear multi-step methods for diffusion-reaction-advection models (Q2085676) (← links)