Pages that link to "Item:Q4646769"
From MaRDI portal
The following pages link to Dynamics of implied volatility surfaces (Q4646769):
Displayed 44 items.
- Nonparametric state price density estimation using constrained least squares and the bootstrap (Q275252) (← links)
- Implied basket correlation dynamics (Q308412) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- Implied volatility in oil markets (Q961396) (← links)
- Neutral and indifference pricing with stochastic correlation and volatility (Q1716937) (← links)
- It only takes a few moments to hedge options (Q1734554) (← links)
- Implied volatility and state price density estimation: arbitrage analysis (Q1789634) (← links)
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
- Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
- Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility (Q2074845) (← links)
- A deposit insurance pricing with a multi-state regime-switching volatility (Q2114499) (← links)
- A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (Q2343744) (← links)
- A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
- Pricing and trading European options by combining artificial neural networks and parametric models with implied parameters (Q2464227) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms (Q4600764) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- Some recent developments in stochastic volatility modelling (Q4646765) (← links)
- Deterministic implied volatility models (Q4646768) (← links)
- Dynamics of implied volatility surfaces (Q4646769) (← links)
- Alternative asset-price dynamics and volatility smile (Q4647257) (← links)
- Pricing of index options under a minimal market model with log-normal scaling (Q4647289) (← links)
- A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting (Q4683117) (← links)
- Scenario analysis for derivative portfolios via dynamic factor models (Q4991043) (← links)
- Static replication of barrier-type options via integral equations (Q4991074) (← links)
- Modeling and evaluation of the option book hedging problem using stochastic programming (Q5001128) (← links)
- Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
- A Long-Term Model of the Dynamics of the S&P500 Implied Volatility Surface (Q5019766) (← links)
- Inference and Computation for Sparsely Sampled Random Surfaces (Q5057273) (← links)
- Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (Q5075241) (← links)
- A neural network approach to understanding implied volatility movements (Q5139240) (← links)
- Model-driven statistical arbitrage on LETF option markets (Q5212060) (← links)
- Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
- Dynamics of foreign exchange implied volatility and implied correlation surfaces (Q5234358) (← links)
- Simulation of Implied Volatility Surfaces via Tangent Lévy Models (Q5266358) (← links)
- On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
- State price density estimation with an application to the recovery theorem (Q6039126) (← links)
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
- Arbitrage-Free Neural-SDE Market Models (Q6092913) (← links)
- Implied volatility smoothing at COVID-19 times (Q6134304) (← links)
- Simulation of Arbitrage-Free Implied Volatility Surfaces (Q6148557) (← links)
- A two-step framework for arbitrage-free prediction of the implied volatility surface (Q6158370) (← links)