Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (Q3005360): Difference between revisions

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-Antoon Pelsser
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+Antoon Pelsser
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+MaRDI publication profile
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+W3124589484
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@@ Property / cites work @@
+Pricing and hedging long-term options
@@ Property / cites work: Pricing and hedging long-term options / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes and applications in finance
@@ Property / cites work: Affine processes and applications in finance / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+Changes of numéraire, changes of probability measure and option pricing
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
@@ Property / cites work: COMPLEX LOGARITHMS IN HESTON-LIKE MODELS / rank @@
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+A comparison of biased simulation schemes for stochastic volatility models
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+Pricing inflation-indexed derivatives
@@ Property / cites work: Pricing inflation-indexed derivatives / rank @@
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@@ Property / cites work @@
+Q4504336
@@ Property / cites work: Q4504336 / rank @@
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@@ Property / cites work @@
+Q5287558
@@ Property / cites work: Q5287558 / rank @@
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+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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