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.

• High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737) (← links)
• The hierarchical-likelihood approach to autoregressive stochastic volatility models (Q452568) (← links)
• Absolute continuity for some one-dimensional processes (Q453264) (← links)
• Option pricing under risk-minimization criterion in an incomplete market with the finite difference method (Q460210) (← links)
• The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
• Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series (Q465611) (← links)
• Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
• Hermite polynomial based expansion of European option prices (Q469560) (← links)
• Maximum likelihood estimation of partially observed diffusion models (Q469573) (← links)
• Variance trading and market price of variance risk (Q469575) (← links)
• Testing the local volatility assumption: a statistical approach (Q470421) (← links)
• Option pricing under a stressed-beta model (Q470515) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Implied and realized volatility: empirical model selection (Q470518) (← links)
• Affine fractional stochastic volatility models (Q470522) (← links)
• Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
• The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices (Q470605) (← links)
• Continuous equilibrium in affine and information-based capital asset pricing models (Q470686) (← links)
• Modelling conditional heteroskedasticity and skewness using the skew-normal distribution (Q478213) (← links)
• Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
• Pricing American continuous-installment options under stochastic volatility model (Q482015) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• Liquidity risk, price impacts and the replication problem (Q483927) (← links)
• Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
• Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility (Q484871) (← links)
• A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection (Q492666) (← links)
• Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
• Estimating parametric models of probability distributions (Q496976) (← links)
• On predicting the maximum of a semimartingale and the optimal moment to sell a stock (Q500285) (← links)
• Modeling of financial processes with a space-time fractional diffusion equation of varying order (Q501519) (← links)
• Real and financial interacting markets: a behavioral macro-model (Q502027) (← links)
• Optimal buying at the global minimum in a regime switching model (Q502365) (← links)
• Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility (Q502541) (← links)
• Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
• R-estimation in semiparametric dynamic location-scale models (Q503558) (← links)
• A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
• A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190) (← links)
• Exploring the dynamics of financial markets: from stock prices to strategy returns (Q508286) (← links)
• A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE (Q508291) (← links)
• Distance to the line in the Heston model (Q511233) (← links)
• Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Lie symmetry analysis of the Black-Scholes-Merton model for European options with stochastic volatility (Q515438) (← links)
• Clustered Lévy processes and their financial applications (Q515759) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• A delayed stochastic volatility correction to the constant elasticity of variance model (Q517196) (← links)
• Bayesian inference for Heston-STAR models (Q518236) (← links)