Pages that link to "Item:Q2463702"

The following pages link to Moment explosions in stochastic volatility models (Q2463702):

Displaying 50 items.

• Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
• An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
• On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
• Beneš condition for a discontinuous exponential martingale (Q357242) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
• Outperforming the market portfolio with a given probability (Q453241) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Ruin probabilities under general investments and heavy-tailed claims (Q483712) (← links)
• The large-maturity smile for the Heston model (Q484212) (← links)
• Multi-scaling of moments in stochastic volatility models (Q492947) (← links)
• The lifetime of a financial bubble (Q506379) (← links)
• A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
• Moment explosion in the LIBOR market model (Q633049) (← links)
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
• On the martingale property of certain local martingales (Q664349) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• Existence of limiting distribution for affine processes (Q777128) (← links)
• Bubbles, convexity and the Black-Scholes equation (Q835063) (← links)
• A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
• The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
• Large deviations for the extended Heston model: the large-time case (Q1627673) (← links)
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
• Perfect hedging in rough Heston models (Q1634189) (← links)
• A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
• Option pricing in a regime switching stochastic volatility model (Q1642260) (← links)
• Explosion in the quasi-Gaussian HJM model (Q1650943) (← links)
• The Jacobi stochastic volatility model (Q1650944) (← links)
• Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
• Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
• Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031) (← links)
• Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
• It only takes a few moments to hedge options (Q1734554) (← links)
• Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533) (← links)
• Explosive Poisson shot noise processes with applications to risk reserves (Q1903607) (← links)
• Hedging for the long run (Q1938979) (← links)
• Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
• On parameter estimation for critical affine processes (Q1951130) (← links)
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions (Q2088864) (← links)
• Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688) (← links)
• Strict local martingales and the Khasminskii test for explosions (Q2145795) (← links)
• Asset price bubbles: invariance theorems (Q2170295) (← links)
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions (Q2175333) (← links)