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.

• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates (Q2266898) (← links)
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
• Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
• Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)
• Pricing options under stochastic volatility jump model: a stable adaptive scheme (Q2273036) (← links)
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
• Estimation of the stochastic leverage effect using the Fourier transform method (Q2274297) (← links)
• Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828) (← links)
• The risks and returns of stock investment in a financial market (Q2284015) (← links)
• Affine Volterra processes (Q2286463) (← links)
• VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
• Bayesian approach for parameter estimation of continuous-time stochastic volatility models using Fourier transform methods (Q2288759) (← links)
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
• Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
• Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
• Linearized filtering of affine processes using stochastic Riccati equations (Q2289789) (← links)
• A stochastic control model for the average price of manufacturer sales on commodity exchanges (Q2290422) (← links)
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility (Q2292015) (← links)
• From volatility smiles to the volatility of volatility (Q2292044) (← links)
• A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
• Model-free stochastic collocation for an arbitrage-free implied volatility. I. (Q2292062) (← links)
• Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
• Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185) (← links)
• Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569) (← links)
• Hybrid stochastic local unit roots (Q2295812) (← links)
• A brief history of quantitative finance (Q2296095) (← links)
• Affine processes under parameter uncertainty (Q2296126) (← links)
• Regime switching affine processes with applications to finance (Q2308173) (← links)
• European option pricing under stochastic volatility jump-diffusion models with transaction cost (Q2308485) (← links)
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion (Q2309581) (← links)
• Uncertainty quantification and Heston model (Q2311188) (← links)
• Series representation of the pricing formula for the European option driven by space-time fractional diffusion (Q2318158) (← links)
• Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
• Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility (Q2319098) (← links)
• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611) (← links)
• Lattice methods for pricing American strangles with two-dimensional stochastic volatility models (Q2320671) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model (Q2322431) (← links)
• An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Stochastic volatility models with application in option pricing (Q2324121) (← links)
• The influence of shock signals on the change in volatility term structure (Q2324716) (← links)
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
• Fractional Cox-Ingersoll-Ross process with small Hurst indices (Q2326528) (← links)
• A difference method for the McKean-Vlasov equation (Q2327875) (← links)
• The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing (Q2330737) (← links)
• Variable annuities with a threshold fee: valuation, numerical implementation and comparative static analysis (Q2331000) (← links)
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)