Pages that link to "Item:Q4216100"
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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)