Pages that link to "Item:Q3161742"

The following pages link to COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742):

Displaying 23 items.

• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility (Q292380) (← links)
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
• Weighted average price in the Heston stochastic volatility model (Q1693861) (← links)
• Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
• Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (Q2155842) (← links)
• A new simple tree approach for the Heston's stochastic volatility model (Q2203258) (← links)
• Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016) (← links)
• Option pricing with Legendre polynomials (Q2628349) (← links)
• COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
• Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility (Q3005360) (← links)
• On the valuation of fader and discrete barrier options in Heston's stochastic volatility model (Q3005361) (← links)
• Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (Q3145420) (← links)
• Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542) (← links)
• PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS (Q4916242) (← links)
• Option Pricing in Affine Generalized Merton Models (Q4976500) (← links)
• Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604) (← links)
• Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297) (← links)
• Laplace transform approach to option pricing for time-changed Brownian models (Q5267902) (← links)
• Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks (Q6489108) (← links)