The following pages link to (Q4509488):
Displayed 50 items.
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- On mean exit time from a curvilinear domain (Q956351) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Filtering and identification of Heston's stochastic volatility model and its market risk (Q959679) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- Matching asymptotics in path-dependent option pricing (Q968852) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- A new analytical approximation for European puts with stochastic volatility (Q972953) (← links)
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
- Role of noise in a market model with stochastic volatility (Q978895) (← links)
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility (Q1009405) (← links)
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications (Q1039919) (← links)
- Asymptotic analysis of option pricing in a Markov modulated market (Q1043251) (← links)
- Robust static hedging of barrier options in stochastic volatility models (Q1044210) (← links)
- A remark on a singular perturbation method for option pricing under a stochastic volatility model (Q1044240) (← links)
- Constrained stochastic estimation algorithms for a class of hybrid stock market models (Q1407240) (← links)
- Pricing equity-linked pure endowments via the principle of equivalent utility. (Q1423334) (← links)
- Instantaneous liquidity rate, its econometric measurement by volatility feedback (Q1600149) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Option pricing under fast-varying and rough stochastic volatility (Q1630429) (← links)
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (Q1641145) (← links)
- Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
- On the physical interpretation of statistical data from black-box systems (Q1672998) (← links)
- Variance-optimal martingale measures for diffusion processes with stochastic coefficients (Q1711096) (← links)
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
- Optimal investment under VaR-regulation and minimum insurance (Q1742722) (← links)
- RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
- Risk premium and fair option prices under stochastic volatility: the HARA solution. (Q1773351) (← links)
- On multigrid for anisotropic equations and variational inequalities ``pricing multi-dimensional European and American options'' (Q1780893) (← links)
- CAM stochastic volatility model for option pricing (Q1793313) (← links)
- Stochastic volatility effects on correlated log-normal random variables (Q1798473) (← links)
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes (Q1873980) (← links)
- Multiresolution weighted norm equivalencies and applications (Q1882554) (← links)
- Optimal consumption and investment for markets with random coefficients (Q1945049) (← links)
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models (Q1959682) (← links)
- Solution of option pricing equations using orthogonal polynomial expansion. (Q1984560) (← links)
- Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984) (← links)
- Pricing European call options under a hard-to-borrow stock model (Q2009590) (← links)
- Risk-sensitive asset management with lognormal interest rates (Q2036891) (← links)
- Combination of transition probability distribution and stable Lorentz distribution in stock markets (Q2072272) (← links)
- Large deviations for interacting multiscale particle systems (Q2105066) (← links)
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
- Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059) (← links)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)