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.

• Dynamic portfolio strategies under a fully correlated jump-diffusion process (Q2334411) (← links)
• Pricing Parisian option under a stochastic volatility model (Q2336869) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Functional Ross recovery: theoretical results and empirical tests (Q2338541) (← links)
• Option pricing in incomplete markets (Q2339079) (← links)
• Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
• Exponential moments of affine processes (Q2341630) (← links)
• Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models (Q2343101) (← links)
• An application of nonparametric volatility estimators to option pricing (Q2343108) (← links)
• Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model (Q2347109) (← links)
• Optimal reinsurance and investment problem for an insurer with counterparty risk (Q2347114) (← links)
• Pricing with finite dimensional dependence (Q2347715) (← links)
• Market-based estimation of stochastic volatility models (Q2347717) (← links)
• Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
• Model-based pricing for financial derivatives (Q2347719) (← links)
• Option pricing with non-Gaussian scaling and infinite-state switching volatility (Q2347724) (← links)
• What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
• Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
• A non-linear dynamic model of the variance risk premium (Q2347731) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Pricing vulnerable options under a stochastic volatility model (Q2349261) (← links)
• A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
• Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
• Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE (Q2350371) (← links)
• Analytically pricing volatility swaps under stochastic volatility (Q2351082) (← links)
• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
• Inverted finite elements for degenerate and radial elliptic problems in unbounded domains (Q2352148) (← links)
• On pricing options with stressed-beta in a reduced form model (Q2353840) (← links)
• Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads -- an explanation by means of a quanto option (Q2353849) (← links)
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction (Q2356102) (← links)
• A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps (Q2358707) (← links)
• Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model (Q2359660) (← links)
• Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (Q2359987) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options (Q2361173) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• Lévy processes driven by stochastic volatility (Q2372257) (← links)
• The pricing of options for securities markets with delayed response (Q2372448) (← links)
• Catastrophe equity put options with target variance (Q2374098) (← links)
• Valuation and risk assessment of participating life insurance in the presence of credit risk (Q2374130) (← links)
• Pricing currency option based on the extension principle and defuzzification via weighting parameter identification (Q2375610) (← links)
• Inference for stochastic volatility models using time change transformations (Q2380088) (← links)
• Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
• Parametric modeling of implied smile functions: a generalized SVI model (Q2393161) (← links)
• On the primal-dual algorithm for callable bermudan options (Q2393163) (← links)
• Stable local volatility function calibration using spline kernel (Q2393653) (← links)
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
• Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
• Financial options pricing with regime-switching jump-diffusions (Q2398904) (← links)