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.

• Option pricing under the Heston model where the interest rate follows the Vasicek model (Q5079996) (← links)
• American Options in the Volterra Heston Model (Q5080128) (← links)
• Exact Solutions and Approximations for Optimal Investment Strategies and Indifference Prices (Q5080130) (← links)
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
• A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
• (Q5085891) (← links)
• Pricing double volatility barriers option under stochastic volatility (Q5086643) (← links)
• An adaptive model for security prices driven by latent values: parameter estimation and option pricing effects (Q5092641) (← links)
• Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model (Q5093691) (← links)
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724) (← links)
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
• Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing (Q5101025) (← links)
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (Q5107393) (← links)
• Small-time moderate deviations for the randomised Heston model (Q5109487) (← links)
• COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS (Q5111485) (← links)
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593) (← links)
• A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
• Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
• Stochastic adaptive tracking for a rehabilitative training walker with control constraints considering the omniwheel touchdown characteristic (Q5113278) (← links)
• Lifting the Heston model (Q5120731) (← links)
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
• The Zumbach effect under rough Heston (Q5121491) (← links)
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
• Low-Rank Tensor Approximation for Chebyshev Interpolation in Parametric Option Pricing (Q5131414) (← links)
• A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
• The implied Sharpe ratio (Q5139210) (← links)
• Forward or backward simulation? A comparative study (Q5139227) (← links)
• Quant GANs: deep generation of financial time series (Q5139243) (← links)
• Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
• Турбулентность и модель мультипликативного каскада волатильности (Q5141845) (← links)
• Rational Models for Inflation-Linked Derivatives (Q5144182) (← links)
• Solving Parametric Fractional Differential Equations Arising from the Rough Heston Model Using Quasi-Linearization and Spectral Collocation (Q5144185) (← links)
• Anomalous Diffusions in Option Prices: Connecting Trade Duration and the Volatility Term Structure (Q5144187) (← links)
• The valuation of variance swaps under stochastic volatility, stochastic interest rate and full correlation structure (Q5146449) (← links)
• APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (Q5147996) (← links)
• VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
• COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS (Q5148005) (← links)
• Time Series Prediction with LSTM Networks and Its Application to Equity Investment (Q5148839) (← links)
• Additive Processes with Bilateral Gamma Marginals (Q5149265) (← links)
• Brownian motion and beyond: first-passage, power spectrum, non-Gaussianity, and anomalous diffusion (Q5149684) (← links)
• Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (Q5151932) (← links)
• An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model (Q5157093) (← links)
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
• PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS (Q5158756) (← links)
• NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH (Q5187622) (← links)
• A Componentwise Splitting Method for Pricing American Options Under the Bates Model (Q5189607) (← links)
• A Lévy process for the GNIG probability law with 2nd order stochastic volatility and applications to option pricing (Q5189716) (← links)
• MOMENT EXPLOSIONS AND STATIONARY DISTRIBUTIONS IN AFFINE DIFFUSION MODELS (Q5190049) (← links)