Pages that link to "Item:Q4579833"
From MaRDI portal
The following pages link to A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833):
Displayed 36 items.
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
- Pricing American drawdown options under Markov models (Q2030371) (← links)
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
- Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
- Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
- Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
- Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
- A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
- CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
- Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading (Q2691368) (← links)
- Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
- Quantization goes polynomial (Q4991080) (← links)
- A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
- Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
- Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611) (← links)
- LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS (Q5158754) (← links)
- Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
- A general approach for lookback option pricing under Markov models (Q6053112) (← links)
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
- A transform-based method for pricing Asian options under general two-dimensional models (Q6067803) (← links)
- Robust willow tree method under Lévy processes (Q6098950) (← links)
- Stochastic local volatility models and the Wei-Norman factorization method (Q6105360) (← links)
- Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) (← links)
- A general approach for Parisian stopping times under Markov processes (Q6111010) (← links)
- A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity (Q6169665) (← links)
- A general approximation method for optimal stopping and random delay (Q6178390) (← links)
