Pages that link to "Item:Q877000"
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The following pages link to Correlations and bounds for stochastic volatility models (Q877000):
Displayed 43 items.
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- The lifetime of a financial bubble (Q506379) (← links)
- The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031) (← links)
- Strict local martingales and the Khasminskii test for explosions (Q2145795) (← links)
- Asset price bubbles: invariance theorems (Q2170295) (← links)
- An optimal Gauss-Markov approximation for a process with stochastic drift and applications (Q2229551) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Existence and uniqueness of degenerate SDEs with Hölder diffusion and measurable drift (Q2287281) (← links)
- On the martingale property in the rough Bergomi model (Q2422728) (← links)
- Optional projection under equivalent local martingale measures (Q2697499) (← links)
- A Mathematical Theory of Financial Bubbles (Q2847835) (← links)
- Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
- ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS (Q2968278) (← links)
- Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models (Q3075290) (← links)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
- On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342) (← links)
- Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
- Variational Analysis for Options with Stochastic Volatility and Multiple Factors (Q4579831) (← links)
- Dirichlet Forms and Finite Element Methods for the SABR Model (Q4579839) (← links)
- The survival probability of the SABR model: asymptotics and application (Q4619520) (← links)
- SERIES EXPANSION OF THE SABR JOINT DENSITY (Q4906532) (← links)
- Revisiting linear and lognormal stochastic volatility models (Q4989150) (← links)
- Isogeometric analysis in option pricing (Q5031706) (← links)
- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
- Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← links)
- Polynomial Jump-Diffusion Models (Q5119413) (← links)
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps (Q5120710) (← links)
- STRICT LOCAL MARTINGALES VIA FILTRATION ENLARGEMENT (Q5221477) (← links)
- The principle of not feeling the boundary for the SABR model (Q5234301) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- APPROXIMATE HEDGING PROBLEM WITH TRANSACTION COSTS IN STOCHASTIC VOLATILITY MARKETS (Q5283405) (← links)
- On refined volatility smile expansion in the Heston model (Q5300441) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- The log‐moment formula for implied volatility (Q6187368) (← links)