Pages that link to "Item:Q2029925"
From MaRDI portal
The following pages link to Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925):
Displaying 20 items.
- Nonparametric density estimation and bandwidth selection with B-spline bases: a novel Galerkin method (Q830102) (← links)
- Simulation-based sequential analysis of Markov switching stochastic volatility models (Q1020116) (← links)
- On the optimal design of the randomized unbiased Monte Carlo estimators (Q2060580) (← links)
- Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise (Q2103295) (← links)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
- Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228) (← links)
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
- A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions (Q5106348) (← links)
- Exact Simulation of the SABR Model (Q5360836) (← links)
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
- Spline local basis methods for nonparametric density estimation (Q6158228) (← links)
- Implied value-at-risk and model-free simulation (Q6549615) (← links)
- An efficient method to simulate diffusion bridges (Q6581664) (← links)
- A general framework to simulate diffusions with discontinuous coefficients and local times (Q6638922) (← links)
