Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388): Difference between revisions

@@ Property / DOI @@
-.1007/s11009-018-9650-3
@@ Property / DOI: 10.1007/s11009-018-9650-3 / rank @@
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@@ Property / author @@
-Luca Di Persio
@@ Property / author: Luca Di Persio / rank @@
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@@ Property / author @@
-Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
-Normal rank
@@ Property / author @@
+Luca Di Persio
@@ Property / author: Luca Di Persio / rank @@
+Normal rank
@@ Property / author @@
+Yuliya S. Mishura
@@ Property / author: Yuliya S. Mishura / rank @@
+Normal rank
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+Publication
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+W2963942522
@@ Property / OpenAlex ID: W2963942522 / rank @@
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@@ Property / arXiv ID @@
+.07392
@@ Property / arXiv ID: 1607.07392 / rank @@
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@@ Property / cites work @@
+A decomposition formula for option prices in the Heston model and applications to option pricing approximation
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+Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Pricing under rough volatility
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+Modeling and pricing long memory in stock market volatility
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+MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC  VOLATILITY MODELS
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+Fractional {O}rnstein-{U}hlenbeck processes
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+Estimation and pricing under long-memory stochastic volatility
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+Affine fractional stochastic volatility models
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+Financial Modelling with Jump Processes
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+Does the Hurst index matter for option prices under fractional volatility?
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+The Malliavin Calculus and Related Topics
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+Market calibration under a long memory stochastic volatility model
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+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
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+On the minimal martingale measure and the möllmer-schweizer decomposition
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+Sharper bounds for Gaussian and empirical processes
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@@ Property / Wikidata QID @@
+Q129414836
@@ Property / Wikidata QID: Q129414836 / rank @@
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@@ Property / DOI @@
+.1007/S11009-018-9650-3
@@ Property / DOI: 10.1007/S11009-018-9650-3 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1739388