Pages that link to "Item:Q2131630"
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The following pages link to A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630):
Displaying 8 items.
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
- Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
- Robust and accurate construction of the local volatility surface using the Black-Scholes equation (Q2145459) (← links)
- Calibration of the temporally varying volatility and interest rate functions (Q5072033) (← links)
- AN ANALYTICAL APPROXIMATION FORMULA FOR THE PRICING OF CREDIT DEFAULT SWAPS WITH REGIME SWITCHING (Q5158750) (← links)
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094) (← links)
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)
- European option pricing under the log mean-reverting jump diffusion stochastic volatility model (Q6654087) (← links)
