The following pages link to Riding on the smiles (Q2866376):
Displaying 26 items.
- The \(\alpha\)-hypergeometric stochastic volatility model (Q265650) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- Option pricing and implied volatilities in a 2-hypergeometric stochastic volatility model (Q899403) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models (Q1785445) (← links)
- On the application of Wishart process to the pricing of equity derivatives: the multi-asset case (Q2051154) (← links)
- A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
- Geometric ergodicity of affine processes on cones (Q2182630) (← links)
- Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
- Affine processes under parameter uncertainty (Q2296126) (← links)
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- The Explicit Laplace Transform for the Wishart Process (Q2923426) (← links)
- Optimal investment under multi-factor stochastic volatility (Q4555076) (← links)
- Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)
- Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
- General closed-form basket option pricing bounds (Q5001150) (← links)
- International portfolio choice under multi-factor stochastic volatility (Q5079408) (← links)
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model (Q5139218) (← links)
- Small-Time smile for the multifactor volatility heston model (Q5139918) (← links)
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
- The Alpha‐Heston stochastic volatility model (Q6054369) (← links)
