Pages that link to "Item:Q5046610"
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The following pages link to A hybrid approach for the implementation of the Heston model (Q5046610):
Displaying 11 items.
- Simulating from the Heston model: a gamma approximation scheme (Q500382) (← links)
- Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models (Q1722758) (← links)
- Gaussian process regression for pricing variable annuities with stochastic volatility and interest rate (Q2044803) (← links)
- Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems (Q2212336) (← links)
- Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
- A robust spectral method for solving Heston's model (Q2247922) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Lifting the Heston model (Q5120731) (← links)
- Convergence Rate of Markov Chains and Hybrid Numerical Schemes to Jump-Diffusion with Application to the Bates Model (Q5151932) (← links)
- NUMERICAL STABILITY OF A HYBRID METHOD FOR PRICING OPTIONS (Q5207491) (← links)
- The EWMA Heston model (Q6101022) (← links)
