Pages that link to "Item:Q4667990"
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The following pages link to On the martingale property of stochastic exponentials (Q4667990):
Displayed 26 items.
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- A characterization of the martingale property of exponentially affine processes (Q550153) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- On measure solutions of backward stochastic differential equations (Q841478) (← links)
- On exponential local martingales associated with strong Markov continuous local martingales (Q841482) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- Exchange option pricing under stochastic volatility: a correlation expansion (Q965896) (← links)
- Explicit construction of stochastic exponentials with arbitrary expectation \(k\in (0,1)\) (Q1012213) (← links)
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications (Q1039919) (← links)
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
- Moment explosions in stochastic volatility models (Q2463702) (← links)
- A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
- Equivalent and absolutely continuous measure changes for jump-diffusion processes (Q2572390) (← links)
- A Note on a Paper by Wong and Heyde (Q3094694) (← links)
- Obituary: Christopher Charles Heyde AM, DSc, FAA, FASSA (Q3535622) (← links)
- Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
- Volatility Targeting Using Delayed Diffusions (Q4562721) (← links)
- Liquidity Induced Asset Bubbles via Flows of ELMMs (Q4579843) (← links)
- CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS (Q4994443) (← links)
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES (Q5324401) (← links)
- Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
- Exact retrospective Monte Carlo computation of arithmetic average Asian options (Q5421246) (← links)
- Indifference Pricing and Hedging for Volatility Derivatives (Q5459528) (← links)
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics (Q5746758) (← links)
