Pages that link to "Item:Q5371135"

The following pages link to THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL (Q5371135):

Displaying 50 items.

• The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
• Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• On the calibration of the 3/2 model (Q1734372) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• A stochastic Gronwall inequality and applications to moments, strong completeness, strong local Lipschitz continuity, and perturbations (Q2041810) (← links)
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
• Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
• Heston-GA hybrid option pricing model based on ResNet50 (Q2088431) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688) (← links)
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
• Lie symmetry methods for local volatility models (Q2175338) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
• Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
• Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
• Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368) (← links)
• Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences (Q2691482) (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
• Conic quantization: stochastic volatility and market implied liquidity (Q4991041) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• JDOI variance reduction method and the pricing of American-style options (Q5079357) (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
• VIX VERSUS VXX: A JOINT ANALYTICAL FRAMEWORK (Q5147999) (← links)
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
• VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
• The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach (Q6098178) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Robust optimal asset-liability management with mispricing and stochastic factor market dynamics (Q6152696) (← links)
• Optimal investment and reinsurance strategies under 4/2 stochastic volatility model (Q6156011) (← links)
• A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions (Q6158415) (← links)
• A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626) (← links)
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models (Q6164849) (← links)
• Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604) (← links)
• Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity (Q6534650) (← links)
• Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility (Q6541020) (← links)
• Foreign exchange option pricing under the 4/2 stochastic volatility model with CIR interest rates. (Q6541106) (← links)
• Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models (Q6573815) (← links)
• The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
• Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps (Q6581589) (← links)
• The power of derivatives in portfolio optimization under affine GARCH models (Q6581911) (← links)