Pages that link to "Item:Q3117871"

The following pages link to The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well (Q3117871):

Displaying 50 items.

• Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633) (← links)
• An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
• An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
• On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
• A tale of two option markets: pricing kernels and volatility risk (Q894646) (← links)
• A new estimator method for GARCH models (Q978796) (← links)
• The cross-section of average delta-hedge option returns under stochastic volatility (Q1029238) (← links)
• The smirk in the S\&P500 futures options prices: a linearized factor analysis (Q1039662) (← links)
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
• The pricing kernel puzzle: survey and outlook (Q1669867) (← links)
• A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
• Dual-curve Hull-White interest rate model with stochastic volatility (Q1684766) (← links)
• Monte Carlo calibration to implied volatility surface under volatility models (Q1684770) (← links)
• Numerical studies on asymptotics of European option under multiscale stochastic volatility (Q1694499) (← links)
• Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
• Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• Pricing vulnerable European options under Lévy process with stochastic volatility (Q1727064) (← links)
• It only takes a few moments to hedge options (Q1734554) (← links)
• Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704) (← links)
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
• Modeling asset price under two-factor Heston model with jumps (Q1792238) (← links)
• Wavelet-based option pricing: an empirical study (Q1991243) (← links)
• Efficient simulation for pricing barrier options with two-factor stochastic volatility and stochastic interest rate (Q1992683) (← links)
• Pricing generalized variance swaps under the Heston model with stochastic interest rates (Q1997863) (← links)
• Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
• An alternative form used to calibrate the Heston option pricing model (Q2007219) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes (Q2068271) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Lookback option pricing under the double Heston model using a deep learning algorithm (Q2099529) (← links)
• An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model (Q2100206) (← links)
• Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• European option pricing under multifactor uncertain volatility model (Q2153662) (← links)
• Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance (Q2167364) (← links)
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
• Product Markovian quantization of a diffusion process with applications to finance (Q2176359) (← links)
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
• Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility (Q2205342) (← links)