Pages that link to "Item:Q854283"

The following pages link to A generalization of the Hull and White formula with applications to option pricing approximation (Q854283):

Displaying 23 items.

• A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
• Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
• Exchange option pricing under stochastic volatility: a correlation expansion (Q965896) (← links)
• A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility (Q1009405) (← links)
• Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059) (← links)
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
• General approximation schemes for option prices in stochastic volatility models (Q2869978) (← links)
• Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
• Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes (Q3388496) (← links)
• Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus (Q4558891) (← links)
• DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS (Q4645330) (← links)
• On Smile Properties of Volatility Derivatives: Understanding the VIX Skew (Q5029932) (← links)
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
• Exponentiation of conditional expectations under stochastic volatility (Q5215433) (← links)
• Target volatility option pricing in the lognormal fractional SABR model (Q5234360) (← links)
• ANALYTIC PRICING OF CoCo BONDS (Q5357518) (← links)
• Malliavin differentiability of the Heston volatility and applications to option pricing (Q5387081) (← links)
• The asymptotic expansion of the regular discretization error of Itô integrals (Q6054137) (← links)
• Edgeworth expansions for volatility models (Q6136793) (← links)