Pages that link to "Item:Q1009482"

The following pages link to The calculation of expectations for classes of diffusion processes by Lie symmetry methods (Q1009482):

Displaying 21 items.

• Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions (Q649747) (← links)
• Lie symmetries methods in boundary crossing problems for diffusion processes (Q829565) (← links)
• Fundamental solutions, transition densities and the integration of Lie symmetries (Q1011481) (← links)
• Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394) (← links)
• Calibration to FX triangles of the 4/2 model under the benchmark approach (Q2145688) (← links)
• Lie symmetry methods for local volatility models (Q2175338) (← links)
• New classes of non-convolution integral equations arising from Lie symmetry analysis of hyperbolic pdes (Q2407133) (← links)
• Pricing VIX derivatives with free stochastic volatility model (Q2418425) (← links)
• Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions (Q2844026) (← links)
• Symmetry groups and fundamental solutions for systems of parabolic equations (Q2861721) (← links)
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (Q3145420) (← links)
• EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
• Equivalence and symmetries for variable coefficient linear heat type equations. I (Q4565427) (← links)
• Equivalence and symmetries for variable coefficient linear heat type equations. II. Fundamental solutions (Q4575938) (← links)
• Symmetries of stochastic differential equations using Girsanov transformations (Q5061292) (← links)
• LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC (Q5119562) (← links)
• Large Deviations for the Squared Radial Ornstein--Uhlenbeck Process (Q5369326) (← links)
• Hodograph Transformations and Cauchy Problem to Systems of Nonlinear Parabolic Equations (Q5415914) (← links)
• Reduction and reconstruction of SDEs via Girsanov and quasi Doob symmetries (Q5877093) (← links)