INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498): Difference between revisions

@@ Property / cites work @@
+Q2725621
@@ Property / cites work: Q2725621 / rank @@
+Normal rank
@@ Property / cites work @@
+NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS
+Normal rank
@@ Property / cites work @@
+ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS
+Normal rank
@@ Property / cites work @@
+Impact of Flexible Periodic Premiums on Variable Annuity Guarantees
+Normal rank
@@ Property / cites work @@
+Quadratic-Variation-Based Dynamic Strategies
@@ Property / cites work: Quadratic-Variation-Based Dynamic Strategies / rank @@
+Normal rank
@@ Property / cites work @@
+Q3150773
@@ Property / cites work: Q3150773 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
+Normal rank
@@ Property / cites work @@
+A new approach for option pricing under stochastic volatility
+Normal rank
@@ Property / cites work @@
+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
+Normal rank
@@ Property / cites work @@
+The \(\alpha\)-hypergeometric stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Robust option pricing: Hannan and Blackwell meet Black and Scholes
+Normal rank
@@ Property / cites work @@
+Probability distribution of returns in the Heston model with stochastic volatility*
+Normal rank
@@ Property / cites work @@
+An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
+Normal rank
@@ Property / cites work @@
+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
+Normal rank
@@ Property / cites work @@
+Analytically tractable stochastic stock price models.
+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 @@
+A GENERAL ORNSTEIN–UHLENBECK STOCHASTIC VOLATILITY MODEL WITH LÉVY JUMPS
+Normal rank
@@ Property / cites work @@
+Q3530675
@@ Property / cites work: Q3530675 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
+Normal rank
@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS
+Normal rank
@@ Property / cites work @@
+CLOSED-FORM APPROXIMATION OF PERPETUAL TIMER OPTION PRICES
+Normal rank
@@ Property / cites work @@
+EXACT SOLUTION OF A MARTINGALE STOCHASTIC VOLATILITY OPTION PROBLEM AND ITS EMPIRICAL EVALUATION
+Normal rank
@@ Property / cites work @@
+The Laplace Transform of Hitting Times of Integrated Geometric Brownian Motion
+Normal rank
@@ Property / cites work @@
+Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
+Normal rank
@@ Property / cites work @@
+On the martingale property of certain local martingales
+Normal rank
@@ Property / cites work @@
+A technique for exponential change of measure for Markov processes
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Contingent Claims and Market Completeness in a Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+The martingale property in the context of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Complications with stochastic volatility models
@@ Property / cites work: Complications with stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+On some exponential functionals of Brownian motion
+Normal rank
@@ Property / cites work @@
+FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
+Normal rank