Pages that link to "Item:Q5374080"
From MaRDI portal
The following pages link to A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (Q5374080):
Displayed 50 items.
- EFFICIENT ESTIMATION USING THE CHARACTERISTIC FUNCTION (Q61344) (← links)
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
- Bootstrap specification tests for diffusion processes (Q261886) (← links)
- Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
- The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
- Linear trend exclusion for models defined with stochastic differential and difference equations (Q268657) (← links)
- Optimal strategies for asset allocation and consumption under stochastic volatility (Q274239) (← links)
- A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
- A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- Saddlepoint approximations for continuous-time Markov processes (Q278194) (← links)
- Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
- Econometric specification of stochastic discount factor models (Q278271) (← links)
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Deformed exponentials and applications to finance (Q280540) (← links)
- Robust option pricing: Hannan and Blackwell meet Black and Scholes (Q281366) (← links)
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (Q282274) (← links)
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (Q285995) (← links)
- Optimal restricted quadratic estimator of integrated volatility (Q287536) (← links)
- Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility (Q292380) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- Quality control for structural credit risk models (Q299230) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error (Q299254) (← links)
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk (Q300078) (← links)
- Determining and benchmarking risk neutral distributions implied from option prices (Q300172) (← links)
- Estimating integrated co-volatility with partially miss-ordered high frequency data (Q300776) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
- A fast calibrating volatility model for option pricing (Q319158) (← links)
- The implication of missing the optimal-exercise time of an American option (Q319234) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- An investigation of model risk in a market with jumps and stochastic volatility (Q323232) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) (← links)
- Maximum likelihood estimation for Wishart processes (Q326826) (← links)