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.

• Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations (Q522057) (← links)
• Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
• Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition (Q525145) (← links)
• A simple efficient approximation to price basket stock options with volatility smile (Q525204) (← links)
• Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
• Jumps in equilibrium prices and market microstructure noise (Q527958) (← links)
• Efficient minimum distance estimation with multiple rates of convergence (Q528052) (← links)
• A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions (Q528126) (← links)
• Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
• Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
• Subsampling high frequency data (Q530605) (← links)
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
• Affine processes on positive semidefinite matrices (Q535197) (← links)
• Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
• Tractable hedging with additional hedge instruments (Q539149) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• VaR: exchange rate risk and jump risk (Q544463) (← links)
• Implementing quasi-Monte Carlo simulations with linear transformations (Q545523) (← links)
• A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← links)
• Symmetry analysis of a model of stochastic volatility with time-dependent parameters (Q548314) (← links)
• Homotopy analysis method for option pricing under stochastic volatility (Q550482) (← links)
• On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) (← links)
• Application of Moore-Penrose inverse in deciding the minimal martingale measure (Q601957) (← links)
• The role of additional information in option pricing: estimation issues for the state space model (Q604920) (← links)
• Approximation of the distribution of a stationary Markov process with application to option pricing (Q605850) (← links)
• Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) (← links)
• The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model (Q607574) (← links)
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
• Behavioral heterogeneity in the option market (Q609834) (← links)
• Consistent modeling of S\&P 500 and VIX derivatives (Q609838) (← links)
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process (Q613244) (← links)
• Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering (Q613824) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
• A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
• Using radial basis functions to construct local volatility surfaces (Q621034) (← links)
• A smooth estimator for MC/QMC methods in finance (Q622177) (← links)
• A note on the dynamic liquidity trading problem with a mean-variance objective (Q628657) (← links)
• Estimation of a multivariate stochastic volatility density by kernel deconvolution (Q631636) (← links)
• ``Down-side risk'' probability minimization problem with Cox-Ingersoll-Ross's interest rates (Q633827) (← links)
• Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (Q635177) (← links)
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions (Q640057) (← links)
• A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q641552) (← links)
• Valuing options in Heston's stochastic volatility model: another analytical approach (Q642746) (← links)
• Estimation of risk-neutral density surfaces (Q645506) (← links)
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
• On filtering and estimation of a threshold stochastic volatility model (Q658656) (← links)