A Stochastic Volatility Alternative to SABR (Q5504162): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
ReferenceBot (talk | contribs)
Changed an Item
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1239/jap/1231340234 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2015447247 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5558293 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moment explosions in stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: REGULAR VARIATION AND SMILE ASYMPTOTICS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on option pricing for the constant elasticity of variance model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A survey and some generalizations of Bessel processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing Under Incompleteness and Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3374309 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4229805 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Simplex Method for Function Minimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4508926 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complications with stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3862204 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 00:28, 29 June 2024

scientific article; zbMATH DE number 5495877
Language Label Description Also known as
English
A Stochastic Volatility Alternative to SABR
scientific article; zbMATH DE number 5495877

    Statements

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references