Pages that link to "Item:Q3069958"
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The following pages link to MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958):
Displayed 50 items.
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- Simple examples of pure-jump strict local martingales (Q491181) (← links)
- Affine processes are regular (Q662821) (← links)
- Existence of limiting distribution for affine processes (Q777128) (← links)
- Stability analysis of Riccati differential equations related to affine diffusion processes (Q847047) (← links)
- Large deviations for the extended Heston model: the large-time case (Q1627673) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
- Asymptotic and exact pricing of options on variance (Q1936829) (← links)
- Affine forward variance models (Q1999593) (← links)
- Multiple yield curve modelling with CBI processes (Q2037767) (← links)
- The microstructure of stochastic volatility models with self-exciting jump dynamics (Q2108901) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- Affine processes beyond stochastic continuity (Q2299583) (← links)
- Exponential moments of affine processes (Q2341630) (← links)
- Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion (Q2798172) (← links)
- Exponential Ergodicity of the Jump-Diffusion CIR Process (Q2801798) (← links)
- Affine LIBOR models driven by real-valued affine processes (Q2811920) (← links)
- THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON (Q2909510) (← links)
- Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
- COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
- Asymptotics of Implied Volatility far from Maturity (Q3182423) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
- Extrapolation Analytics for Dupire’s Local Volatility (Q4560335) (← links)
- On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Option pricing in the moderate deviations regime (Q4581294) (← links)
- Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
- Approximate Pricing of Call Options on the Quadratic Variation in Lévy Models (Q4976502) (← links)
- Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data (Q4994351) (← links)
- Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
- Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286) (← links)
- Moments and ergodicity of the jump-diffusion CIR process (Q5087038) (← links)
- A comparison principle between rough and non-rough Heston models—with applications to the volatility surface (Q5139205) (← links)
- OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
- Variational Formulation of American Option Prices in the Heston Model (Q5227407) (← links)
- Exponential ergodicity of an affine two-factor model based on the α-root process (Q5233204) (← links)
- Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models (Q5411908) (← links)
- EUROPEAN OPTIONS SENSITIVITY WITH RESPECT TO THE CORRELATION FOR MULTIDIMENSIONAL HESTON MODELS (Q5420695) (← links)
- Explosion time for some Laplace transforms of the Wishart process (Q5742577) (← links)
- Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations (Q5742595) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)