Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637): Difference between revisions

@@ Property / cites work @@
+The Fourier-series method for inverting transforms of probability distributions
+Normal rank
@@ Property / cites work @@
+Spectral methods for volatility derivatives
@@ Property / cites work: Spectral methods for volatility derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Pricing options on realized variance
@@ Property / cites work: Pricing options on realized variance / rank @@
+Normal rank
@@ Property / cites work @@
+A new approach for option pricing under stochastic volatility
+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 @@
+Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Sato processes and the valuation of structured products
+Normal rank
@@ Property / cites work @@
+Valuation of volatility derivatives as an inverse problem
+Normal rank
@@ Property / cites work @@
+Zero-intelligence realized variance estimation.
@@ Property / cites work: Zero-intelligence realized variance estimation. / rank @@
+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 @@
+The dynamics of stochastic volatility: evidence from underlying and options markets
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+A square root interest rate model fitting discrete initial term structure data
+Normal rank
@@ Property / cites work @@
+The Accurate Numerical Inversion of Laplace Transforms
+Normal rank
@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms Using Laguerre Functions
+Normal rank