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 time stepping scheme for pricing American option under Bates model (Q5031791) (← links)
• Least-square-based control variate method for pricing options under general factor models (Q5031850) (← links)
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851) (← links)
• $\alpha$-Hypergeometric Uncertain Volatility Models and their Connection to 2BSDEs (Q5033264) (← links)
• A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps (Q5034147) (← links)
• A study of the data augmentation strategy for stochastic differential equations (Q5036849) (← links)
• European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model (Q5036853) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• Expected Utility Theory on General Affine GARCH Models (Q5041836) (← links)
• On the Valuation of Discrete Asian Options in High Volatility Environments (Q5041837) (← links)
• (Q5043261) (← links)
• OPTION SURFACE STATISTICS WITH APPLICATIONS (Q5048581) (← links)
• ASYMPTOTIC EXPANSION FOR THE TRANSITION DENSITIES OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY THE GAMMA PROCESSES (Q5051178) (← links)
• PRICING VARIANCE SWAPS UNDER DOUBLE HESTON STOCHASTIC VOLATILITY MODEL WITH STOCHASTIC INTEREST RATE (Q5051186) (← links)
• A closed-form pricing formula for catastrophe equity options (Q5051197) (← links)
• A closed-form approximation formula for pricing European options under a three-factor model (Q5051203) (← links)
• LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK (Q5051211) (← links)
• A CLOSED-FORM PRICING FORMULA FOR EUROPEAN EXCHANGE OPTIONS WITH STOCHASTIC VOLATILITY (Q5051212) (← links)
• Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles (Q5051640) (← links)
• EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS (Q5051916) (← links)
• STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS (Q5051922) (← links)
• METHOD OF MOMENTS ESTIMATION FOR LÉVY-DRIVEN ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODELS (Q5051950) (← links)
• The two-particle irreducible effective action for classical stochastic processes (Q5052051) (← links)
• On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions (Q5055127) (← links)
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model (Q5055305) (← links)
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604) (← links)
• Online Smoothing for Diffusion Processes Observed with Noise (Q5057271) (← links)
• An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance (Q5057699) (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
• Valuation of European options with stochastic interest rates and transaction costs (Q5063448) (← links)
• CALIBRATING LOCAL VOLATILITY MODELS WITH STOCHASTIC DRIFT AND DIFFUSION (Q5066306) (← links)
• Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters (Q5066397) (← links)
• Equal risk pricing and hedging of financial derivatives with convex risk measures (Q5068070) (← links)
• Pricing collateralised options in the presence of counterparty credit risk: An extension of the Heston–Nandi model (Q5070711) (← links)
• Calibration of the temporally varying volatility and interest rate functions (Q5072033) (← links)
• The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
• A fast algorithm for simulation of rough volatility models (Q5072905) (← links)
• Performance measurement for option portfolios in a stochastic volatility framework (Q5072912) (← links)
• Tempered stable processes with time-varying exponential tails (Q5072913) (← links)
• Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models (Q5075238) (← links)
• An analytical approximation method for pricing barrier options under the double Heston model (Q5077926) (← links)
• Solution of time-space fractional Black-Scholes European option pricing problem through fractional reduced differential transform method (Q5078137) (← links)
• Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond (Q5079124) (← links)
• Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• On the investment strategies in occupational pension plans (Q5079380) (← links)
• International portfolio choice under multi-factor stochastic volatility (Q5079408) (← links)
• Equilibrium pricing of foreign exchange options under a discontinuous model with stochastic jump intensity (Q5079464) (← links)
• Hybrid method based on neural networks and Monte Carlo simulation in view of a tradeoff between accuracy and computational time (Q5079831) (← links)