Pages that link to "Item:Q2425553"

The following pages link to A new approach for option pricing under stochastic volatility (Q2425553):

Displaying 39 items.

• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• Local volatility of volatility for the VIX market (Q385648) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• Tractable hedging with additional hedge instruments (Q539149) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• Volatility smile as relativistic effect (Q1620616) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• On the calibration of the 3/2 model (Q1734372) (← links)
• An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
• Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394) (← links)
• Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
• Pricing VIX options in a 3/2 plus jumps model (Q1989867) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
• A semi-analytic valuation of American options under a two-state regime-switching economy (Q2164646) (← links)
• Parameter estimation in CKLS model by continuous observations (Q2667620) (← links)
• RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053) (← links)
• ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
• EXACT SIMULATION OF THE 3/2 MODEL (Q3166709) (← links)
• Optimal Strategies for a Long-Term Static Investor (Q3191881) (← links)
• Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
• Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
• Modeling Variance Risk Premium (Q4609756) (← links)
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds (Q4682485) (← links)
• Pricing Exotic Discrete Variance Swaps under the 3/2-Stochastic Volatility Models (Q4682488) (← links)
• Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
• European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty (Q5038294) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation (Q5235053) (← links)
• LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH (Q5367499) (← links)
• Applying hedging strategies to estimate model risk and provision calculation (Q5397439) (← links)
• Options on realized variance by transform methods: a non-affine stochastic volatility model (Q5745637) (← links)
• Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case (Q5962135) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)