Pages that link to "Item:Q3391972"

The following pages link to Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes (Q3391972):

Displaying 50 items.

• Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
• Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation (Q340795) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Bessel bridges decomposition with varying dimension: applications to finance (Q482808) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• A smooth estimator for MC/QMC methods in finance (Q622177) (← links)
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (Q635177) (← links)
• Alternative defaultable term structure models (Q841849) (← links)
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
• Exchange option pricing under stochastic volatility: a correlation expansion (Q965896) (← links)
• Robust static hedging of barrier options in stochastic volatility models (Q1044210) (← links)
• Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
• A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
• Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
• The Jacobi stochastic volatility model (Q1650944) (← links)
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
• Weighted average price in the Heston stochastic volatility model (Q1693861) (← links)
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process (Q1713467) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems (Q2076899) (← links)
• Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes (Q2147863) (← links)
• Estimating option Greeks under the stochastic volatility using simulation (Q2149316) (← links)
• Levelling the playing field: a VIX-linked structure for funded pension schemes (Q2212140) (← links)
• Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection (Q2219586) (← links)
• RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function (Q2226775) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
• Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
• Least-squares estimation for the subcritical Heston model based on continuous-time observations (Q2322027) (← links)
• Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE (Q2350371) (← links)
• Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (Q2359987) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• Computational technique for simulating variable-order fractional Heston model with application in US stock market (Q2418460) (← links)