Pages that link to "Item:Q5388690"

The following pages link to Asymptotic Approximations to Deterministic and Stochastic Volatility Models (Q5388690):

Displaying 15 items.

• Geometric ergodicity of asymmetric volatility models with stochastic parameters (Q388985) (← links)
• On generalised asymmetric stochastic volatility models (Q429633) (← links)
• Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
• Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
• Abelian theorems for stochastic volatility models with application to the estimation of jump activity (Q1761482) (← links)
• Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
• The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\) (Q2203171) (← links)
• The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
• The continuous-time limit of score-driven volatility models (Q2658765) (← links)
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
• Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
• Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334) (← links)
• (Q5155966) (← links)
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
• VALUE-AT-RISK COMPUTATIONS IN STOCHASTIC VOLATILITY MODELS USING SECOND-ORDER WEAK APPROXIMATION SCHEMES (Q5411988) (← links)