Pages that link to "Item:Q4226865"

The following pages link to OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL (Q4226865):

Displaying 43 items.

• A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
• Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
• A multivariate stochastic unit root model with an application to derivative pricing (Q341897) (← links)
• Implied and realized volatility: empirical model selection (Q470518) (← links)
• Affine fractional stochastic volatility models (Q470522) (← links)
• Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
• The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
• Symmetric martingales and symmetric smiles (Q734666) (← links)
• A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
• An option pricing formula for the GARCH diffusion model (Q957204) (← links)
• Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632) (← links)
• Estimation of stochastic volatility models via Monte Carlo maximum likelihood (Q1305633) (← links)
• Local parametric analysis of hedging in discrete time (Q1372930) (← links)
• Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
• Efficient two-step estimation via targeting (Q1676369) (← links)
• Option price decomposition in spot-dependent volatility models and some applications (Q1794087) (← links)
• Conservative delta hedging. (Q1884835) (← links)
• Bayesian analysis of contingent claim model error (Q1969817) (← links)
• Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (Q2023465) (← links)
• The Riemann-Liouville field and its GMC as \(H \to 0\), and skew flattening for the rough Bergomi model (Q2070629) (← links)
• Downside risk measurement in regime switching stochastic volatility (Q2178387) (← links)
• The leverage effect puzzle revisited: identification in discrete time (Q2190223) (← links)
• Optimal robust mean-variance hedging in incomplete financial markets (Q2255960) (← links)
• Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
• Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
• Understanding the implied volatility surface for options on a diversified index (Q2575436) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• A Simple Model for Option Pricing with Jumping Stochastic Volatility (Q2703110) (← links)
• Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096) (← links)
• Integer-valued Lévy processes and low latency financial econometrics (Q2873033) (← links)
• BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS (Q2875730) (← links)
• Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
• THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON (Q2909510) (← links)
• American Option Valuation with Particle Filters (Q2917425) (← links)
• IMPLIED VOLATILITY IN THE HULL-WHITE MODEL (Q3393973) (← links)
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
• On Estimation of Volatility Surface and Prediction of Future Spot Volatility (Q3424327) (← links)
• APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
• Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672) (← links)
• Valuing of timer path-dependent options (Q6089609) (← links)
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)