Pages that link to "Item:Q4902205"
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The following pages link to Option Pricing in Multivariate Stochastic Volatility Models of OU Type (Q4902205):
Displayed 29 items.
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
- Multivariate supOU processes (Q627238) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Large portfolio losses in a turbulent market (Q2030632) (← links)
- Geometric ergodicity of affine processes on cones (Q2182630) (← links)
- Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Regime switching affine processes with applications to finance (Q2308173) (← links)
- Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing (Q2347718) (← links)
- Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
- GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING (Q2814674) (← links)
- Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets (Q2837759) (← links)
- Riding on the smiles (Q2866376) (← links)
- The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
- THE WISHART SHORT RATE MODEL (Q4909141) (← links)
- Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing (Q4988556) (← links)
- A stochastic volatility factor model of heston type. Statistical properties and estimation (Q5085832) (← links)
- Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
- PRICING TWO-ASSET BARRIER OPTIONS UNDER STOCHASTIC CORRELATION VIA PERTURBATION (Q5256837) (← links)
- Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025) (← links)
- An estimator for the cumulative co‐volatility of asynchronously observed semimartingales with jumps (Q5418636) (← links)
- Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method (Q5864356) (← links)
- A fractionally integrated Wishart stochastic volatility model (Q5864454) (← links)
- The Laplace transform of the integrated Volterra Wishart process (Q6054411) (← links)
- Multivariate continuous-time autoregressive moving-average processes on cones (Q6115253) (← links)