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.

• SDE-MATH: a software package for the implementation of strong high-order numerical methods for Ito SDEs with multidimensional non-commutative noise based on multiple Fourier-Legendre series (Q4986658) (← links)
• Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model (Q4987715) (← links)
• The Shadow Price of Latency: Improving Intraday Fill Ratios in Foreign Exchange Markets (Q4987716) (← links)
• Series Expansions and Direct Inversion for the Heston Model (Q4988549) (← links)
• Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
• On the Estimation of Jump-Diffusion Models Using Intraday Data: A Filtering-Based Approach (Q4990515) (← links)
• Conic quantization: stochastic volatility and market implied liquidity (Q4991041) (← links)
• VIX futures term structure and the expectations hypothesis (Q4991047) (← links)
• Pricing and hedging performance on pegged FX markets based on a regime switching model (Q4991077) (← links)
• Fast Hybrid Schemes for Fractional Riccati Equations (Rough Is Not So Tough) (Q4991674) (← links)
• SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS (Q4993886) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants (Q4994397) (← links)
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS (Q4994441) (← links)
• CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
• Detecting and Repairing Arbitrage in Traded Option Prices (Q4994674) (← links)
• A Parallel Cyclic Reduction Algorithm for Pentadiagonal Systems with Application to a Convection-Dominated Heston PDE (Q4997346) (← links)
• (Q4997920) (← links)
• American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics (Q5001107) (← links)
• Valuation of forward start options under affine jump-diffusion models (Q5001168) (← links)
• Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178) (← links)
• Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
• Parabolic and elliptic equations with singular or degenerate coefficients: The Dirichlet problem (Q5009318) (← links)
• REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS (Q5010065) (← links)
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
• W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms (Q5014042) (← links)
• Algorithmic market making for options (Q5014175) (← links)
• Using the short-lived arbitrage model to compute minimum variance hedge ratios: application to indices, stocks and commodities (Q5014179) (← links)
• Artificial neural network for option pricing with and without asymptotic correction (Q5014190) (← links)
• Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
• A functional analysis approach to the static replication of European options (Q5014195) (← links)
• Option Pricing Under Autoregressive Random Variance Models (Q5018717) (← links)
• ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? (Q5019039) (← links)
• Joint Modeling and Calibration of SPX and VIX by Optimal Transport (Q5019589) (← links)
• Normalized Exponential Tilting (Q5019747) (← links)
• Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286) (← links)
• Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition (Q5026530) (← links)
• Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach (Q5026537) (← links)
• Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604) (← links)
• A stochastic local volatility technique for TARN options (Q5030544) (← links)
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547) (← links)
• An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate (Q5030552) (← links)
• A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
• Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (Q5030643) (← links)
• A case study on pricing foreign exchange options using the modified Craig–Sneyd ADI scheme (Q5030646) (← links)
• Isogeometric analysis in option pricing (Q5031706) (← links)
• The collocating local volatility framework – a fresh look at efficient pricing with smile (Q5031708) (← links)
• Option pricing under a jump-telegraph diffusion model with jumps of random size (Q5031709) (← links)
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems (Q5031725) (← links)