Pages that link to "Item:Q4216100"

The following pages link to Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (Q4216100):

Displayed 50 items.

• Mimicking an Itō process by a solution of a stochastic differential equation (Q363861) ‎ (← links)
• Implied and realized volatility: empirical model selection (Q470518) ‎ (← links)
• No-arbitrage interpolation of the option price function and its reformulation (Q704745) ‎ (← links)
• The incompleteness problem of the APT model (Q719016) ‎ (← links)
• Shape-preserving interpolation and smoothing for options market implied volatility (Q1035911) ‎ (← links)
• Volatility smile as relativistic effect (Q1620616) ‎ (← links)
• Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) ‎ (← links)
• Tangent Lévy market models (Q1761433) ‎ (← links)
• The waterline tree for separable local-volatility models (Q2013448) ‎ (← links)
• Robust and accurate construction of the local volatility surface using the Black-Scholes equation (Q2145459) ‎ (← links)
• Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) ‎ (← links)
• Arbitrage-free market models for option prices: the multi-strike case (Q2271718) ‎ (← links)
• Local volatility dynamic models (Q2271723) ‎ (← links)
• From volatility smiles to the volatility of volatility (Q2292044) ‎ (← links)
• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (Q2292056) ‎ (← links)
• Almost sure and moment stability properties of fractional order Black-Scholes model (Q2347308) ‎ (← links)
• American option pricing with imprecise risk-neutral probabilities (Q2379326) ‎ (← links)
• Risk-neutral compatibility with option prices (Q2430260) ‎ (← links)
• On the no-arbitrage condition in option implied trees (Q2519099) ‎ (← links)
• A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies (Q2565768) ‎ (← links)
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) ‎ (← links)
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) ‎ (← links)
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258) ‎ (← links)
• Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) ‎ (← links)
• Calibration of the SABR Model in Illiquid Markets (Q3375372) ‎ (← links)
• Barrier options and their static hedges: simple derivations and extensions (Q3437386) ‎ (← links)
• THE RANGE OF TRADED OPTION PRICES (Q3446056) ‎ (← links)
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) ‎ (← links)
• ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') (Q3523587) ‎ (← links)
• Static Hedging of Barrier Options with a Smile: An Inverse Problem (Q4421087) ‎ (← links)
• The Fundamental Theorem of Derivative Trading - exposition, extensions and experiments (Q4555094) ‎ (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) ‎ (← links)
• Adaptive mixture for a controlled smile: the LT model (Q4610258) ‎ (← links)
• Delta-hedging vega risk? (Q4610265) ‎ (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) ‎ (← links)
• Deterministic implied volatility models (Q4646768) ‎ (← links)
• Dynamics of implied volatility surfaces (Q4646769) ‎ (← links)
• Alternative asset-price dynamics and volatility smile (Q4647257) ‎ (← links)
• CONSISTENT UPPER PRICE BOUNDS FOR EXOTIC OPTIONS (Q4994444) ‎ (← links)
• Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128) ‎ (← links)
• Recovering the real-world density and liquidity premia from option data (Q5001196) ‎ (← links)
• Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models (Q5014186) ‎ (← links)
• The collocating local volatility framework – a fresh look at efficient pricing with smile (Q5031708) ‎ (← links)
• COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS (Q5148005) ‎ (← links)
• LOCAL VOLATILITY FOR QUANTO OPTION PRICES WITH STOCHASTIC INTEREST RATES (Q5217005) ‎ (← links)
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241) ‎ (← links)
• Simulation of Implied Volatility Surfaces via Tangent Lévy Models (Q5266358) ‎ (← links)
• Implied non-recombining trees and calibration for the volatility smile (Q5423197) ‎ (← links)
• Model-free price hedge ratios for homogeneous claims on tradable assets (Q5433092) ‎ (← links)
• IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS (Q5493852) ‎ (← links)