Pages that link to "Item:Q3437399"
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The following pages link to Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399):
Displaying 18 items.
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes (Q1619870) (← links)
- Option pricing, stochastic volatility, singular dynamics and constrained path integrals (Q1782478) (← links)
- Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems (Q1782819) (← links)
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation (Q1797745) (← links)
- Valuation of credit derivatives with multiple time scales in the intensity model (Q2336889) (← links)
- Calibrating the exponential Ornstein–Uhlenbeck multiscale stochastic volatility model (Q2879040) (← links)
- OPTION PRICING UNDER ORNSTEIN-UHLENBECK STOCHASTIC VOLATILITY: A LINEAR MODEL (Q3067763) (← links)
- A generalized Fourier transform approach to risk measures (Q3301115) (← links)
- FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS (Q3607473) (← links)
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach (Q4586316) (← links)
- Statistical analysis and stochastic interest rate modeling for valuing the future with implications in climate change mitigation (Q5135117) (← links)
- The probability distribution of returns in the exponential Ornstein–Uhlenbeck model (Q5239449) (← links)
- VOLATILITY INFERENCE AND RETURN DEPENDENCIES IN STOCHASTIC VOLATILITY MODELS (Q5377003) (← links)
- Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model (Q5853625) (← links)
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
- Inference in generalized exponential O-U processes (Q6190225) (← links)
- INFORMATION-THEORETIC ANALYSIS OF STOCHASTIC VOLATILITY MODELS (Q6203301) (← links)
- Log-normal stochastic volatility model with quadratic drift (Q6492032) (← links)
