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.

• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• Realised volatility and parametric estimation of Heston SDEs (Q784737) (← links)
• Options with constant underlying elasticity in strikes (Q812141) (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
• A note on the numerical resolution of Heston PDEs (Q829233) (← links)
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
• Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model (Q830058) (← links)
• Optimal algorithms for \(k\)-search with application in option pricing (Q834594) (← links)
• Fourier inversion formulas in option pricing and insurance (Q835682) (← links)
• Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
• Operator splitting methods for pricing American options under stochastic volatility (Q841111) (← links)
• A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855) (← links)
• Multi-layer model of correlated energy prices (Q847241) (← links)
• A complete-market generalization of the Black-Scholes model (Q853864) (← links)
• Consistent variance curve models (Q854272) (← links)
• Comparison of option prices in semimartingale models (Q854274) (← links)
• A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
• Computable infinite-dimensional filters with applications to discretized diffusion processes (Q855688) (← links)
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) (← links)
• An empirical comparison of GARCH option pricing models (Q867119) (← links)
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets (Q867122) (← links)
• Boltzmann-Gibbs distribution of fortune and broken time reversible symmetry in econodynamics (Q868055) (← links)
• Simultaneous perturbation stochastic approximation of nonsmooth functions (Q877602) (← links)
• Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
• Characterisation of optimal dual measures via distortion (Q882491) (← links)
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions (Q885945) (← links)
• Specification tests of calibrated option pricing models (Q888333) (← links)
• Importance sampling and statistical Romberg method (Q888470) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• Extinction-time for stochastic population models (Q891304) (← links)
• 3D extreme value analysis for stock return, interest rate and speed of mean reversion (Q896795) (← links)
• Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
• Convergence of the modified Craig-Sneyd scheme for two-dimensional convection-diffusion equations with mixed derivative term (Q898943) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
• Analytical approximation for distorted expectations (Q900958) (← links)
• Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
• FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility (Q902968) (← links)
• Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation (Q904258) (← links)
• A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Parametric estimation from approximate data: non-Gaussian diffusions (Q906937) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• \(C^{1,1}\) regularity for degenerate elliptic obstacle problems (Q907793) (← links)
• The structure of optimal consumption streams in general incomplete markets (Q926391) (← links)
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297) (← links)
• Jump diffusion model with application to the Japanese stock market (Q929689) (← links)
• Numerical pricing of options using high-order compact finite difference schemes (Q932713) (← links)