Computation of the effects of uncertainty in volatility on option pricing and hedging (Q4903549): Difference between revisions

@@ Property / cites work @@
+Q5558293
@@ Property / cites work: Q5558293 / rank @@
+Normal rank
@@ Property / cites work @@
+On Generating Orthogonal Polynomials
@@ Property / cites work: On Generating Orthogonal Polynomials / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Implementing Spectral Methods for Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Spectral Methods for Uncertainty Quantification
@@ Property / cites work: Spectral Methods for Uncertainty Quantification / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
+Normal rank
@@ Property / cites work @@
+Polynomial chaos for simulating random volatilities
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
+Normal rank
@@ Property / cites work @@
+Long-term behavior of polynomial chaos in stochastic flow simulations
+Normal rank
@@ Property / cites work @@
+Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
+Normal rank
@@ Property / cites work @@
+Q3583848
@@ Property / cites work: Q3583848 / rank @@
+Normal rank
@@ Property / cites work @@
+The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+An exact and explicit solution for the valuation of American put options
+Normal rank