Pages that link to "Item:Q2893202"
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The following pages link to Analytical formulas for a local volatility model with stochastic rates (Q2893202):
Displaying 16 items.
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- A new analytical approximation for European puts with stochastic volatility (Q972953) (← links)
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (Q2292056) (← links)
- Weak approximation of averaged diffusion processes (Q2434489) (← links)
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139) (← links)
- A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
- New Approximations in Local Volatility Models (Q4561938) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Analytical approximations of local‐Heston volatility model and error analysis (Q4581293) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION (Q4979883) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility (Q6159078) (← links)
