Pages that link to "Item:Q2425554"

The following pages link to Option pricing when correlations are stochastic: an analytical framework (Q2425554):

Displaying 50 items.

• Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
• Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
• On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
• Maximum likelihood estimation for Wishart processes (Q326826) (← links)
• Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
• Affine processes on positive semidefinite matrices (Q535197) (← links)
• Discrete time Wishart term structure models (Q543795) (← links)
• On strong solutions for positive definite jump diffusions (Q554460) (← links)
• Multivariate COGARCH(1, 1) processes (Q605037) (← links)
• A stochastic correlation model with mean reversion for pricing multi-asset options (Q841855) (← links)
• Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function (Q905380) (← links)
• Making the best of best-of (Q1025611) (← links)
• Option pricing and perfect hedging on correlated stocks (Q1414496) (← links)
• Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
• On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option (Q1713193) (← links)
• Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
• Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549) (← links)
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
• Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
• On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
• Recent advances on eigenvalues of matrix-valued stochastic processes (Q2062789) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• A consistent stochastic model of the term structure of interest rates for multiple tenors (Q2191452) (← links)
• The multivariate mixture dynamics model: shifted dynamics and correlation skew (Q2241131) (← links)
• Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
• Pricing range notes within Wishart affine models (Q2513635) (← links)
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities (Q2514629) (← links)
• High-dimensional limits of eigenvalue distributions for general Wishart process (Q2657920) (← links)
• Asset prices with investor protection and past information (Q2691284) (← links)
• Digital option pricing based on copulas with stochastic simulation (Q2791956) (← links)
• Riding on the smiles (Q2866376) (← links)
• Price of correlations in stochastic optimization (Q2892222) (← links)
• The explicit Laplace transform for the Wishart process (Q2923426) (← links)
• OPTION PRICING AND HEDGING WITH TEMPORAL CORRELATIONS (Q3022045) (← links)
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
• ON PRICING CONTINGENT CLAIMS UNDER THE DOUBLE HESTON MODEL (Q3166710) (← links)
• A PARSIMONIOUS MULTI-ASSET HESTON MODEL: CALIBRATION AND DERIVATIVE PRICING (Q3225031) (← links)
• A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* (Q3576960) (← links)
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach (Q3635097) (← links)
• Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
• Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)