Pages that link to "Item:Q4391417"
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The following pages link to Complications with stochastic volatility models (Q4391417):
Displaying 50 items.
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Mean-variance hedging with oil futures (Q377447) (← links)
- On backward stochastic differential equations and strict local martingales (Q429279) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Shifting martingale measures and the birth of a bubble as a submartingale (Q468413) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- Option pricing with quadratic volatility: a revisit (Q483708) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- No arbitrage conditions for simple trading strategies (Q666439) (← links)
- Rational asset pricing bubbles and portfolio constraints (Q694734) (← links)
- Bubbles, convexity and the Black-Scholes equation (Q835063) (← links)
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
- On optimal arbitrage (Q990375) (← links)
- Option pricing in a regime switching stochastic volatility model (Q1642260) (← links)
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031) (← links)
- Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
- An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
- Asymptotic asset pricing and bubbles (Q1744206) (← links)
- Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533) (← links)
- Hedging for the long run (Q1938979) (← links)
- Continuity of utility maximization under weak convergence (Q2024121) (← links)
- On absolute continuity and singularity of multidimensional diffusions (Q2042787) (← links)
- Strict local martingales and the Khasminskii test for explosions (Q2145795) (← links)
- Asset price bubbles: invariance theorems (Q2170295) (← links)
- No arbitrage in continuous financial markets (Q2190064) (← links)
- Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} (Q2241076) (← links)
- Weak tail conditions for local martingales (Q2421830) (← links)
- On the martingale property in the rough Bergomi model (Q2422728) (← links)
- Comparison results for stochastic volatility models via coupling (Q2430255) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- Optional projection under equivalent local martingale measures (Q2697499) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
- A simple proof of the martingale property in a semi-log-normal stochastic volatility model (Q3177164) (← links)
- ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (Q3553253) (← links)
- Real-World Pricing for a Modified Constant Elasticity of Variance Model (Q3565103) (← links)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
- Implied Volatility in Strict Local Martingale Models (Q4635246) (← links)
- On the martingale property of stochastic exponentials (Q4667990) (← links)
- THE MEANING OF MARKET EFFICIENCY (Q4906537) (← links)
- HEDGING UNDER ARBITRAGE (Q4917300) (← links)
- Revisiting linear and lognormal stochastic volatility models (Q4989150) (← links)
