Variance swaps under the threshold Ornstein–Uhlenbeck model (Q4624950): Difference between revisions

@@ Property / cites work @@
+Q4226822
@@ Property / cites work: Q4226822 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Asian options of discretely monitored geometric average in the regime‐switching model
+Normal rank
@@ Property / cites work @@
+Principal component models with stochastic mean‐reverting levels. Pricing and covariance surface improvements
+Normal rank
@@ Property / cites work @@
+A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY
+Normal rank
@@ Property / cites work @@
+CLOSED FORM PRICING FORMULAS FOR DISCRETELY SAMPLED GENERALIZED VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Variance swap with mean reversion, multifactor stochastic volatility and jumps
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Threshold models in non-linear time series analysis
+Normal rank
@@ Property / cites work @@
+Testing and Modeling Threshold Autoregressive Processes
+Normal rank
@@ Property / cites work @@
+Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Multi-precision Laplace transform inversion
@@ Property / cites work: Multi-precision Laplace transform inversion / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical inversion of 2-D Laplace transforms applied to fractional diffusion equations
+Normal rank
@@ Property / cites work @@
+Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
+Normal rank
@@ Property / cites work @@
+Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
+Normal rank
@@ Property / cites work @@
+DEFAULTABLE BOND PRICING USING REGIME SWITCHING INTENSITY MODEL
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+Simulation Techniques in Financial Risk Management
+Normal rank