Pages that link to "Item:Q3100749"
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The following pages link to PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3100749):
Displaying 36 items.
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Quadratic hedging in affine stochastic volatility models (Q836036) (← links)
- Pricing of bond options. Unspanned stochastic volatility and random field models. (Q946627) (← links)
- A variational approach for pricing options and corporate bounds (Q1367716) (← links)
- On the multiplicity of option prices under CEV with positive elasticity of variance (Q1621639) (← links)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Root's barrier: construction, optimality and applications to variance options (Q1950255) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Closed-form variance swap prices under general affine GARCH models and their continuous-time limits (Q2288922) (← links)
- Pricing options on realized variance (Q2488490) (← links)
- Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (Q2800053) (← links)
- Switching to nonaffine stochastic volatility: a closed-form expansion for the inverse gamma model (Q2816963) (← links)
- Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem (Q3456842) (← links)
- Orthogonal expansions for VIX options under affine jump diffusions (Q4554474) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors (Q4579831) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Pricing options on discrete realized variance with partially exact and bounded approximations (Q4683116) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- An efficient exponential twisting importance sampling technique for pricing financial derivatives (Q5022767) (← links)
- PRICING AND HEDGING OF VIX OPTIONS FOR BARNDORFF-NIELSEN AND SHEPHARD MODELS (Q5210914) (← links)
- Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637) (← links)
- Weak approximations and VIX option price expansions in forward variance curve models (Q6053109) (← links)
- The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
- CBI-time-changed Lévy processes (Q6116556) (← links)
- Analytically pricing European options with a two-factor Stein-Stein model (Q6126086) (← links)
- Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S\&P500 data (Q6549590) (← links)
- Exact simulation of a truncated Lévy subordinator (Q6600100) (← links)
- Stationary covariance regime for affine stochastic covariance models in Hilbert spaces (Q6619589) (← links)
- The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
