Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680903170809
+Normal rank
@@ Property / OpenAlex ID @@
+W3125739561
@@ Property / OpenAlex ID: W3125739561 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice. With smile, inflation and credit
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
@@ Property / cites work: LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING / rank @@
+Normal rank
@@ Property / cites work @@
+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 @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
+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 @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank
@@ Property / cites work @@
+A comparison of biased simulation schemes for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Analytical Solutions and a Numerical Algorithm for the Gauss's Hypergeometric Function <sub>2</sub><i>F</i><sub>1</sub> (a, b; c; z)
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
+Normal rank
@@ Property / cites work @@
+Asymptotical mean square stability of an equilibrium point of some linear numerical solutions with multiplicative noise
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank