Pages that link to "Item:Q434149"

The following pages link to Analytically tractable stochastic stock price models. (Q434149):

Displaying 36 items.

• A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
• Distance to the line in the Heston model (Q511233) (← links)
• Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
• Randomly stopped extreme Zipf extensions (Q826010) (← links)
• Black-Scholes in a CEV random environment (Q1648901) (← links)
• The spectral expansion approach to index transforms and connections with the theory of diffusion processes (Q1660060) (← links)
• Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533) (← links)
• The Zipf-Poisson-stopped-sum distribution with an application for modeling the degree sequence of social networks (Q2008132) (← links)
• Pathwise asymptotics for Volterra type stochastic volatility models (Q2031006) (← links)
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• Detecting bubbles in bitcoin price dynamics via \textit{market exuberance} (Q2241076) (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
• Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
• The Heston Riemannian distance function (Q2436820) (← links)
• Tauberian Korevaar (Q2684664) (← links)
• Uniform Bounds for Black--Scholes Implied Volatility (Q2953944) (← links)
• The Impact of Jump Distributions on the Implied Volatility of Variance (Q2962130) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
• Decomposition of the Pricing Formula for Stochastic Volatility Models Based on Malliavin-Skorohod Type Calculus (Q4558891) (← links)
• Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
• On the Probability Density Function of Baskets (Q4560341) (← links)
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
• Revisiting linear and lognormal stochastic volatility models (Q4989150) (← links)
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
• No Arbitrage SVI (Q5065089) (← links)
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
• LEFT-WING ASYMPTOTICS OF THE IMPLIED VOLATILITY IN THE PRESENCE OF ATOMS (Q5249756) (← links)
• Asymptotic Analysis of Stock Price Densities and Implied Volatilities in Mixed Stochastic Models (Q5250042) (← links)
• Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
• Large deviation principles for stochastic volatility models with reflection (Q6111035) (← links)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) (← links)
• The log‐moment formula for implied volatility (Q6187368) (← links)