Pages that link to "Item:Q1754049"

The following pages link to A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049):

Displaying 49 items.

• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity (Q2009351) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation (Q2050919) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model (Q2158056) (← links)
• Pricing of FX options in the MPT/CIR jump-diffusion model with approximative fractional stochastic volatility (Q2163921) (← links)
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
• An analysis of dollar cost averaging and market timing investment strategies (Q2189909) (← links)
• Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model (Q2242652) (← links)
• Valuing equity-linked death benefits in general exponential Lévy models (Q2332688) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Fourier based methods for the management of complex life insurance products (Q2665862) (← links)
• Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• Pricing Variance Swaps on Time-Changed Markov Processes (Q4999901) (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
• Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions (Q5106348) (← links)
• Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611) (← links)
• SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY (Q5221310) (← links)
• Variance swaps valuation under non-affine GARCH models and their diffusion limits (Q5234288) (← links)
• EQUILIBRIUM PRICE OF VARIANCE SWAPS UNDER STOCHASTIC VOLATILITY WITH LÉVY JUMPS AND STOCHASTIC INTEREST RATE (Q5384679) (← links)
• Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
• VOLATILITY SWAPS VALUATION UNDER A MODIFIED RISK-NEUTRALIZED HESTON MODEL WITH A STOCHASTIC LONG-RUN VARIANCE LEVEL (Q5890133) (← links)
• Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method (Q6058844) (← links)
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) (← links)
• A general approach for Parisian stopping times under Markov processes (Q6111010) (← links)
• A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models (Q6164849) (← links)