Pages that link to "Item:Q5745637"
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The following pages link to Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637):
Displayed 33 items.
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
- A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean (Q829337) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- An alternative form used to calibrate the Heston option pricing model (Q2007219) (← links)
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model (Q2020524) (← links)
- Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility (Q2280828) (← links)
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185) (← links)
- Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
- Closed-form formulae for European options under three-factor models (Q2660490) (← links)
- Homotopy analysis method for portfolio optimization problem under the 3/2 model (Q2661941) (← links)
- The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
- Optimal Strategies for a Long-Term Static Investor (Q3191881) (← links)
- Optimal static quadratic hedging (Q4554507) (← links)
- Volatility Targeting Using Delayed Diffusions (Q4562721) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
- A transform-based method for pricing Asian options under general two-dimensional models (Q6067803) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)
- Interval Laplace transform and its application in production inventory (Q6182960) (← links)