Pages that link to "Item:Q4673670"

The following pages link to STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE <i>q</i>‐OPTIMAL MEASURE (Q4673670):

Displaying 34 items.

• A general multidimensional Monte Carlo approach for dynamic hedging under stochastic volatility (Q274837) (← links)
• Non-Gaussian GARCH option pricing models and their diffusion limits (Q320097) (← links)
• Bayesian inference for Heston-STAR models (Q518236) (← links)
• Indifference valuation in incomplete binomial models (Q613732) (← links)
• Exponential utility maximization under partial information (Q650760) (← links)
• Optimal static-dynamic hedges for exotic options under convex risk measures (Q734655) (← links)
• \(q\)-optimal martingale measures for discrete time models (Q842819) (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
• Characterisation of optimal dual measures via distortion (Q882491) (← links)
• Time-consistent actuarial valuations (Q903338) (← links)
• Exponentially affine martingales, affine measure changes and exponential moments of affine processes (Q2267544) (← links)
• On the structure of general mean-variance hedging strategies (Q2373572) (← links)
• Portfolios and risk premia for the long run (Q2428051) (← links)
• Explicit solutions of some utility maximization problems in incomplete markets (Q2485800) (← links)
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
• Power utility maximization under partial information: some convergence results (Q2638359) (← links)
• The minimal entropy measure and an Esscher transform in an incomplete market model (Q2643378) (← links)
• BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS (Q2788692) (← links)
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL (Q2841330) (← links)
• A class of stochastic volatility models and the<i>q</i>-optimal martingale measure (Q2873538) (← links)
• HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
• MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION (Q3521286) (← links)
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (Q3580219) (← links)
• $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE (Q3621564) (← links)
• Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
• On the Convergence of the<i>p</i>-Optimal Martingale Measures to the Minimal Entropy Martingale Measure (Q4678744) (← links)
• RISK PREMIA AND OPTIMAL LIQUIDATION OF CREDIT DERIVATIVES (Q4909145) (← links)
• Option Pricing Under Autoregressive Random Variance Models (Q5018717) (← links)
• On the multi-dimensional portfolio optimization with stochastic volatility (Q5236140) (← links)
• AN APPROXIMATE APPROACH TO THE EXPONENTIAL UTILITY INDIFFERENCE VALUATION (Q5297234) (← links)
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (Q5411393) (← links)
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (Q5422628) (← links)
• A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE (Q5459960) (← links)
• ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS (Q5464335) (← links)