The following pages link to EXACT SIMULATION OF THE 3/2 MODEL (Q3166709):
Displaying 13 items.
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes (Q2800053) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178) (← links)
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604) (← links)
- Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications (Q6578150) (← links)
- European option pricing under the log mean-reverting jump diffusion stochastic volatility model (Q6654087) (← links)
