Pages that link to "Item:Q2847239"

The following pages link to Stochastic volatility models and the pricing of VIX options (Q2847239):

Displaying 50 items.

• Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
• Local volatility of volatility for the VIX market (Q385648) (← links)
• Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition (Q512843) (← links)
• Pricing of bond options. Unspanned stochastic volatility and random field models. (Q946627) (← links)
• The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
• VIX forecast under different volatility specifications (Q1627811) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• Explicit approximations for nonlinear switching diffusion systems in finite and infinite horizons (Q1643167) (← links)
• Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
• A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
• On the calibration of the 3/2 model (Q1734372) (← links)
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
• Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
• Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
• Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
• Well-posedness and tamed schemes for McKean-Vlasov equations with common noise (Q2094568) (← links)
• Bias-optimal vol-of-vol estimation: the role of window overlapping (Q2145695) (← links)
• Lie symmetry methods for local volatility models (Q2175338) (← links)
• Probability density function of SDEs with unbounded and path-dependent drift coefficient (Q2196367) (← links)
• On the pricing formula for the perpetual American volatility option under the mean-reverting processes (Q2233615) (← links)
• VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• From volatility smiles to the volatility of volatility (Q2292044) (← links)
• Pricing VIX options with stochastic skew and asymmetric jumps (Q2307815) (← links)
• Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
• Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
• Stochastic C-stability and B-consistency of explicit and implicit Euler-type schemes (Q2629249) (← links)
• Fast maximum likelihood estimation of parameters for square root and Bessel processes (Q2700562) (← links)
• Stochastic volatility models including open, close, high and low prices (Q2893203) (← links)
• Pricing Options with Hybrid Stochastic Volatility Models (Q2958817) (← links)
• (Q3457552) (← links)
• Complications with stochastic volatility models (Q4391417) (← links)
• Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
• On American VIX options under the generalized 3/2 and 1/2 models (Q4642732) (← links)
• Stochastic Models for Oil Prices and the Pricing of Futures on Oil (Q4682479) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• THE VIX AND FUTURE INFORMATION (Q5061494) (← links)
• PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
• Properties of American Volatility Options in the Mean-Reverting 3/2 Volatility Model (Q5250037) (← links)
• Stochastic Volatility Models and Option Prices (Q5301479) (← links)
• Handbook of Volatility Models and Their Applications (Q5388714) (← links)
• Model‐based quantification of the volatility of options at transaction level with extended count regression models (Q5430333) (← links)
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (Q5464335) (← links)
• A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
• Stochastic volatility demand systems (Q5864632) (← links)
• The effects of asymmetric volatility and jumps on the pricing of VIX derivatives (Q5964763) (← links)
• Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)