Pages that link to "Item:Q5190133"

The following pages link to A comparison of biased simulation schemes for stochastic volatility models (Q5190133):

Displaying 50 items.

• A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
• Polynomial diffusions and applications in finance (Q331360) (← links)
• Weak approximation of CIR equation by discrete random variables (Q392777) (← links)
• A boundary preserving numerical algorithm for the Wright-Fisher model with mutation (Q438725) (← links)
• Gamma expansion of the Heston stochastic volatility model (Q483714) (← links)
• A probabilistic numerical method for fully nonlinear parabolic PDEs (Q640058) (← links)
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• First order strong approximations of scalar SDEs defined in a domain (Q740810) (← links)
• A second-order weak approximation of Heston model by discrete random variables (Q904337) (← links)
• Adjoint-based Monte Carlo calibration of financial methods (Q964678) (← links)
• Exchange option pricing under stochastic volatility: a correlation expansion (Q965896) (← links)
• Pathwise approximation of stochastic differential equations on domains: Higher order convergence rates without global Lipschitz coefficients (Q1016225) (← links)
• Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
• Analytical valuation of vulnerable European and Asian options in intensity-based models (Q2020536) (← links)
• Indifference pricing of insurance-linked securities in a multi-period model (Q2029066) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations (Q2038153) (← links)
• Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
• On a convergent power series method to price defaultable bonds in a Vašíček-CIR model (Q2113272) (← links)
• Approximate value adjustments for European claims (Q2116937) (← links)
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model (Q2122043) (← links)
• Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem (Q2158055) (← links)
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion (Q2170237) (← links)
• Weak approximation of Heston model by discrete random variables (Q2228636) (← links)
• Approximation of the Fokker-Planck equation of the stochastic chemostat (Q2229824) (← links)
• An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model (Q2229921) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
• What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• On the density of log-spot in the Heston volatility model (Q2638360) (← links)
• Jacobi stochastic volatility factor for the LIBOR market model (Q2675815) (← links)
• CVA in fractional and rough volatility models (Q2700343) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
• Fast Ninomiya–Victoir calibration of the double-mean-reverting model (Q2871434) (← links)
• A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692) (← links)
• Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (Q3005360) (← links)
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model (Q3005361) (← links)
• Unstable volatility: the break-preserving local linear estimator (Q3145404) (← links)
• COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742) (← links)
• SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES (Q3304210) (← links)
• EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL (Q3560077) (← links)
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models (Q3584774) (← links)
• Recursive marginal quantization of higher-order schemes (Q4554449) (← links)