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.
- Saddlepoint approximations to option price in a general equilibrium model (Q2483862) (← links)
- Stochastic volatility and fractional Brownian motion (Q2485787) (← links)
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
- A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities (Q2494013) (← links)
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (Q2496230) (← links)
- Matched asymptotic expansions in financial engineering (Q2501093) (← links)
- Assessing the quality of volatility estimators via option pricing (Q2509440) (← links)
- Monotonicity of the value function for a two-dimensional optimal stopping problem (Q2511558) (← links)
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation (Q2511559) (← links)
- On implied volatility for options -- some reasons to smile and more to correct (Q2512634) (← links)
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
- Recovery of the local volatility function using regularization and a gradient projection method (Q2514665) (← links)
- Application of the Heston stochastic volatility model for Borsa Istanbul using impression matrix norm (Q2515097) (← links)
- Diamond-cell finite volume scheme for the Heston model (Q2515716) (← links)
- Static hedging under maturity mismatch (Q2516768) (← links)
- High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids (Q2517498) (← links)
- Pricing currency options under two-factor Markov-modulated stochastic volatility models (Q2518532) (← links)
- Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q2520430) (← links)
- A new formula for computing implied volatility (Q2572045) (← links)
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
- Consistency conditions for affine term structure models. (Q2574626) (← links)
- A nonparametric test of a strong leverage hypothesis (Q2630356) (← links)
- Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids (Q2632499) (← links)
- On non-negative modeling with CARMA processes (Q2633848) (← links)
- On the investment-uncertainty relationship in a real option model with stochastic volatility (Q2637406) (← links)
- Group classification of a class of equations arising in financial mathematics (Q2637947) (← links)
- On the density of log-spot in the Heston volatility model (Q2638360) (← links)
- Probing option prices for information (Q2642481) (← links)
- Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160) (← links)
- A class of asset pricing models governed by subordinate processes that signal economic shocks (Q2654429) (← links)
- A parabolic problem arising in financial mathematics (Q2655088) (← links)
- A successive SDP-NSDP approach to a robust optimization problem in finance (Q2655406) (← links)
- Regularity and a Liouville theorem for a class of boundary-degenerate second order equations (Q2656272) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
- Closed-form formulae for European options under three-factor models (Q2660490) (← links)
- Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model (Q2661015) (← links)
- A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)
- A cumulant approach for the first-passage-time problem of the Feller square-root process (Q2661059) (← links)
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing (Q2662604) (← links)
- Multiscale stochastic elasticity of variance for options and equity linked annuity; a Mellin transform approach (Q2666525) (← links)
- Endogenous stochastic arbitrage bubbles and the Black-Scholes model (Q2667651) (← links)
- Super- and subdiffusive positions in fractional Klein-Kramers equations (Q2668314) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient (Q2670503) (← links)
- Variance swaps under multiscale stochastic volatility of volatility (Q2671216) (← links)
