Pages that link to "Item:Q5374080"
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The following pages link to A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (Q5374080):
Displayed 50 items.
- A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term (Q1005306) (← links)
- A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
- Option pricing with mean reversion and stochastic volatility (Q1011280) (← links)
- A mixed PDE/Monte-Carlo method for stochastic volatility models (Q1018129) (← links)
- A jump-diffusion model for option pricing under fuzzy environments (Q1023093) (← links)
- Optimal portfolios for DC pension plans under a CEV model (Q1023114) (← links)
- Sequential calibration of options (Q1023619) (← links)
- The cross-section of average delta-hedge option returns under stochastic volatility (Q1029238) (← links)
- Efficient \(L\)-stable method for parabolic problems with application to pricing American options under stochastic volatility (Q1030223) (← links)
- A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
- Volatility and GMM -- Monte Carlo studies and empirical estimations (Q1297655) (← links)
- Penalty methods for American options with stochastic volatility (Q1298615) (← links)
- Saddlepoint approximations to option prices (Q1305423) (← links)
- Augmented GARCH\((p,q)\) process and its diffusion limit (Q1362059) (← links)
- Empirical assessment of an intertemporal option pricing model with latent variables. (Q1398969) (← links)
- Estimation of risk-neutral densities using positive convolution approximation (Q1398970) (← links)
- The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
- Empirical reverse engineering of the pricing kernel. (Q1398984) (← links)
- Empirical option pricing: A retrospection (Q1398987) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- Option pricing for stable and infinitely divisible asset returns (Q1596868) (← links)
- The Riccati equation in mathematical finance. (Q1599553) (← links)
- Rate of convergence for parametric estimation in a stochastic volatility model. (Q1766043) (← links)
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging. (Q1766047) (← links)
- Risk premium and fair option prices under stochastic volatility: the HARA solution. (Q1773351) (← links)
- Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
- Type \(G\) and spherical distributions on \(\mathbb R^d\) (Q1776346) (← links)
- Financial econometrics: Past developments and future challenges (Q1841086) (← links)
- Volatility in financial markets: Stochastic models and empirical results (Q1850396) (← links)
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities (Q1853221) (← links)
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Q1867730) (← links)
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes (Q1873980) (← links)
- American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
- Bayesian analysis of contingent claim model error (Q1969817) (← links)
- Post-'87 crash fears in the S\&P 500 futures option market (Q1969818) (← links)
- Pricing and hedging long-term options (Q1969824) (← links)
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)
- Lévy processes driven by stochastic volatility (Q2372257) (← links)
- The pricing of options for securities markets with delayed response (Q2372448) (← links)
- Microstructure noise in the continuous case: the pre-averaging approach (Q2389230) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Approximate inversion of the Black-Scholes formula using rational functions (Q2455635) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
- On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
- Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)