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.

• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
• An insurance risk model with stochastic volatility (Q659182) (← links)
• A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
• A recombining lattice option pricing model that relaxes the assumption of lognormality (Q660165) (← links)
• Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q660712) (← links)
• Constant elasticity of variance model for proportional reinsurance and investment strategies (Q661201) (← links)
• Catastrophe risk management with counterparty risk using alternative instruments (Q661243) (← links)
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249) (← links)
• Analytical VaR for international portfolios with common jumps (Q662223) (← links)
• Bounding contingent claim prices via hedging strategy with coherent risk measures (Q662867) (← links)
• Large deviations of realized volatility (Q665439) (← links)
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717) (← links)
• Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
• Correlation and the pricing of risks (Q665786) (← links)
• An approximation of small-time probability density functions in a general jump diffusion model (Q668543) (← links)
• Mean percentage of returns for stock market linked savings accounts (Q668589) (← links)
• The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index (Q670416) (← links)
• Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
• Analysis, detection and correction of misspecified discrete time state space models (Q679587) (← links)
• Simple arbitrage (Q691114) (← links)
• Escape process and stochastic resonance under noise intensity fluctuation (Q691921) (← links)
• Influence of big traders on the stock market: theory and simulation (Q692088) (← links)
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. (Q703247) (← links)
• An efficient control variate method for pricing variance derivatives (Q711233) (← links)
• A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
• The fractional multivariate normal tempered stable process (Q714607) (← links)
• Algebraic solution of the Stein-Stein model for stochastic volatility (Q718482) (← links)
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations (Q718587) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• DG framework for pricing European options under one-factor stochastic volatility models (Q724549) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
• Integrated variance forecasting: model based vs. reduced form (Q737909) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• Particle filters for continuous likelihood evaluation and maximisation (Q738078) (← links)
• Pricing convertible bonds and change of probability measure (Q741859) (← links)
• American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
• Approximating stochastic volatility by recombinant trees (Q744390) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques (Q744404) (← links)
• A regularized bridge sampler for sparsely sampled diffusions (Q746239) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• Pricing American options with uncertain volatility through stochastic linear complementarity models (Q763392) (← links)
• Existence of limiting distribution for affine processes (Q777128) (← links)
• A note on Stein's overreaction puzzle (Q777932) (← links)
• Trading strategy with stochastic volatility in a limit order book market (Q777935) (← links)