Pages that link to "Item:Q2941062"

The following pages link to THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062):

Displaying 34 items.

• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process (Q727912) (← links)
• The Heston stochastic volatility model with piecewise constant parameters -- efficient calibration and pricing of window barrier options (Q1643855) (← links)
• How should a local regime-switching model be calibrated? (Q1655569) (← links)
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
• An alternative form used to calibrate the Heston option pricing model (Q2007219) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility (Q2112716) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
• Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
• Regime switching affine processes with applications to finance (Q2308173) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• SMILE MODELING IN COMMODITY MARKETS (Q3304207) (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
• Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models (Q4562237) (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
• Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets (Q4635245) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• A stochastic local volatility technique for TARN options (Q5030544) (← links)
• The collocating local volatility framework – a fresh look at efficient pricing with smile (Q5031708) (← links)
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model (Q5055305) (← links)
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
• COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS (Q5148005) (← links)
• Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
• Calibration of a Hybrid Local-Stochastic Volatility Stochastic Rates Model with a Control Variate Particle Method (Q5742499) (← links)
• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (Q5742555) (← links)
• Stochastic local volatility models and the Wei-Norman factorization method (Q6105360) (← links)
• Pricing autocallables under local-stochastic volatility (Q6105374) (← links)
• A general framework for a joint calibration of VIX and VXX options (Q6549588) (← links)
• Implied value-at-risk and model-free simulation (Q6549615) (← links)
• Transition density function expansion methods for portfolio optimization (Q6585828) (← links)
• Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model (Q6594798) (← links)