Pages that link to "Item:Q4541571"
From MaRDI portal
The following pages link to Stochastic volatility, smile & asymptotics (Q4541571):
Displaying 19 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Valuing options in Heston's stochastic volatility model: another analytical approach (Q642746) (← links)
- An asymptotic expansion for a Black--Scholes type model (Q707247) (← links)
- A perturbative approach for reconstructing diffusion coefficients (Q1827346) (← links)
- Resonance phenomena in option pricing with arbitrage (Q2067175) (← links)
- Optimal robust mean-variance hedging in incomplete financial markets (Q2255960) (← links)
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185) (← links)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model (Q2438502) (← links)
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595) (← links)
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) (← links)
- OPTION PRICING FOR INCOMPLETE MARKETS VIA STOCHASTIC OPTIMIZATION: TRANSACTION COSTS, ADAPTIVE CONTROL AND FORECAST (Q3523568) (← links)
- RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE (Q3523592) (← links)
- Dynamic consumption and asset allocation with derivative securities (Q3593597) (← links)
- Option pricing in the presence of random arbitrage return (Q3636741) (← links)
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q4419301) (← links)
- Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
- Portfolio optimization under the stochastic elasticity of variance (Q5170138) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
- Optimal investment with correlated stochastic volatility factors (Q6054456) (← links)
