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.

• The square-root process and Asian options (Q3437388) (← links)
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399) (← links)
• Fast strong approximation Monte Carlo schemes for stochastic volatility models (Q3437409) (← links)
• Calibration of a nonlinear feedback option pricing model (Q3439871) (← links)
• The fair value of guaranteed annuity options (Q3440844) (← links)
• MODERN LOGARITHMS FOR THE HESTON MODEL (Q3444861) (← links)
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING (Q3444867) (← links)
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching (Q3445890) (← links)
• SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• On two numerical problems in applied probability : discretization of Stochastic Differential Equations and optimization of an expectation depending on a parameter (Q3451723) (← links)
• Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps (Q3460257) (← links)
• Option valuation, time-changed processes and the fast Fourier transform (Q3498557) (← links)
• Fast swaption pricing under the market model with a square-root volatility process (Q3498563) (← links)
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS (Q3502126) (← links)
• The implied volatility smirk (Q3502188) (← links)
• Dynamic hedging of single and multi-dimensional options with transaction costs: a generalized utility maximization approach (Q3502191) (← links)
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (Q3502205) (← links)
• Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree (Q3502207) (← links)
• ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS (Q3502980) (← links)
• QUADRATIC HEDGING FOR THE BATES MODEL (Q3502983) (← links)
• FOREIGN EXCHANGE OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q3520339) (← links)
• INFORMATION-BASED ASSET PRICING (Q3520396) (← links)
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
• HEDGING UNDER THE HESTON MODEL WITH JUMP-TO-DEFAULT (Q3520540) (← links)
• ON THE PROFIT AND LOSS DISTRIBUTION OF DYNAMIC HEDGING STRATEGIES (Q3523520) (← links)
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS (Q3523536) (← links)
• STOCHASTIC VOLATILITY AND JUMP-DIFFUSION — IMPLICATIONS ON OPTION PRICING (Q3523537) (← links)
• MEAN-REVERTING STOCHASTIC VOLATILITY (Q3523547) (← links)
• ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS (Q3523558) (← links)
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) (← links)
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (Q3523594) (← links)
• A multifactor volatility Heston model (Q3539544) (← links)
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (Q3560077) (← links)
• MODERN LIBOR MARKET MODELS: USING DIFFERENT CURVES FOR PROJECTING RATES AND FOR DISCOUNTING (Q3560083) (← links)
• A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS (Q3564990) (← links)
• Optimal Weak Static Hedging of Equity and Credit Risk Using Derivatives (Q3565097) (← links)
• Variance-Optimal Hedging in General Affine Stochastic Volatility Models (Q3566394) (← links)
• COMPUTING BOUNDS ON RISK-NEUTRAL DISTRIBUTIONS FROM THE OBSERVED PRICES OF CALL OPTIONS (Q3566767) (← links)
• Optimization of<i>N</i>-risky asset portfolios with stochastic variance and transaction costs (Q3568909) (← links)
• ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I (Q3576957) (← links)
• A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* (Q3576960) (← links)
• Generalized uncorrelated SABR models with a high degree of symmetry (Q3577153) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING (Q3580220) (← links)
• CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (Q3580636) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• Dynamic consumption and asset allocation with derivative securities (Q3593597) (← links)
• Pricing a class of exotic commodity options in a multi-factor jump-diffusion model (Q3605222) (← links)
• Turbo warrants under stochastic volatility (Q3605234) (← links)