Pages that link to "Item:Q5374080"
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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.
- Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation (Q5397429) (← links)
- On the performance of asymptotic locally risk minimising hedges in the Heston stochastic volatility model (Q5397430) (← links)
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
- Applying hedging strategies to estimate model risk and provision calculation (Q5397439) (← links)
- Are Chinese warrants derivatives? Evidence from connections to their underlying stocks (Q5397458) (← links)
- Log Student’s<i>t</i>-distribution-based option sensitivities: Greeks for the Gosset formulae (Q5397462) (← links)
- The impact of different correlation approaches on valuing credit default swaps with counterparty risk (Q5400659) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
- On dependence of volatility on return for stochastic volatility models (Q5410814) (← links)
- SIMPLE SIMULATION SCHEMES FOR CIR AND WISHART PROCESSES (Q5411741) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- Delay geometric Brownian motion in financial option valuation (Q5411907) (← links)
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (Q5411908) (← links)
- VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706) (← links)
- Fast Exponential Time Integration for Pricing Options in Stochastic Volatility Jump Diffusion Models (Q5417790) (← links)
- Estimating option implied risk‐neutral densities using spline and hypergeometric functions (Q5427667) (← links)
- Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets (Q5431993) (← links)
- Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds (Q5432657) (← links)
- Model-free price hedge ratios for homogeneous claims on tradable assets (Q5433092) (← links)
- Volatility surfaces: theory, rules of thumb, and empirical evidence (Q5433097) (← links)
- Solvable local and stochastic volatility models: supersymmetric methods in option pricing (Q5433098) (← links)
- On option pricing models in the presence of heavy tails (Q5433102) (← links)
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps (Q5440089) (← links)
- Indifference Pricing and Hedging for Volatility Derivatives (Q5459528) (← links)
- A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model (Q5459530) (← links)
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (Q5464335) (← links)
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775) (← links)
- Pricing exotic options in a path integral approach (Q5475311) (← links)
- Stochastic Volatility Model with Filtering (Q5478920) (← links)
- Some Properties of CIR Processes (Q5484536) (← links)
- A simple approach for pricing equity options with Markov switching state variables (Q5484634) (← links)
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method (Q5484638) (← links)
- Expensive martingales (Q5484645) (← links)
- Continuous Time Wishart Process for Stochastic Risk (Q5485103) (← links)
- OPTIMAL STATIC–DYNAMIC HEDGES FOR BARRIER OPTIONS (Q5488979) (← links)
- Exact Superreplication Strategies for a Class of Derivative Assets (Q5489327) (← links)
- IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS (Q5493852) (← links)
- Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions (Q5496621) (← links)
- A Stochastic Volatility Alternative to SABR (Q5504162) (← links)
- PRICING DERIVATIVE SECURITIES USING CROSS-ENTROPY: AN ECONOMIC ANALYSIS (Q5696888) (← links)
- Stochastic volatility and the goodness-of-fit of the Heston model (Q5697327) (← links)
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (Q5700133) (← links)
- Adaptive MCMC methods for inference on affine stochastic volatility models with jumps (Q5703228) (← links)
- MEASURING THE MEMORY PARAMETER ON SEVERAL TRANSFORMATIONS OF ASSET RETURNS (Q5704727) (← links)
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (Q5711169) (← links)
- Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature (Q5715864) (← links)
- Volatility Risk For Regime-Switching Models (Q5716001) (← links)
- Asymptotic properties of maximum-likelihood estimators for Heston models based on continuous time observations (Q5739671) (← links)
