The following pages link to EXACT SIMULATION OF THE 3/2 MODEL (Q3166709):
Displayed 10 items.
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- Explicit solution simulation method for the 3/2 model (Q2080170) (← links)
- RECURSIVE ALGORITHMS FOR PRICING DISCRETE VARIANCE OPTIONS AND VOLATILITY SWAPS UNDER TIME-CHANGED LÉVY PROCESSES (Q2800053) (← links)
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model (Q4585682) (← links)
- Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees (Q5001178) (← links)
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
- A transform-based method for pricing Asian options under general two-dimensional models (Q6067803) (← links)
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)