Valuation of power options under Heston's stochastic volatility model (Q311037): Difference between revisions

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-.1016/j.jedc.2012.05.005
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@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
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@@ Property / cites work @@
+Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
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@@ 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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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+Q4509488
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@@ Property / cites work @@
+Changes of numéraire, changes of probability measure and option pricing
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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@@ Property / cites work @@
+Pricing and hedging power options
@@ Property / cites work: Pricing and hedging power options / rank @@
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@@ Property / cites work @@
+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
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@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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@@ Property / cites work @@
+A class of quadratic options for exchange rate stabilization
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@@ Property / cites work @@
+Q2712357
@@ Property / cites work: Q2712357 / rank @@
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@@ Property / DOI @@
+.1016/J.JEDC.2012.05.005
@@ Property / DOI: 10.1016/J.JEDC.2012.05.005 / rank @@
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