Pages that link to "Item:Q4656049"
From MaRDI portal
The following pages link to Multiscale Stochastic Volatility Asymptotics (Q4656049):
Displaying 50 items.
- Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- Investment timing under hybrid stochastic and local volatility (Q340490) (← links)
- Optimal control with random parameters: a multiscale approach (Q431771) (← links)
- Stability of a pure random delay system with two-time-scale Markovian switching (Q432478) (← links)
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping (Q439269) (← links)
- Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461) (← links)
- A smooth estimator for MC/QMC methods in finance (Q622177) (← links)
- Minimizing the probability of lifetime ruin under stochastic volatility (Q634006) (← links)
- Pricing variance swaps under stochastic volatility and stochastic interest rate (Q671068) (← links)
- Pricing perpetual American options under multiscale stochastic elasticity of variance (Q728150) (← links)
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- A remark on a singular perturbation method for option pricing under a stochastic volatility model (Q1044240) (← links)
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
- Pricing credit default swaps under a multi-scale stochastic volatility model (Q1620315) (← links)
- Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
- Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
- CAM stochastic volatility model for option pricing (Q1793313) (← links)
- Boundary layer analysis for the stochastic nonlinear reaction-diffusion equations (Q1990097) (← links)
- Asymptotic analysis for one-name credit derivatives (Q2015749) (← links)
- Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
- Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
- Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model (Q2128181) (← links)
- An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
- Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
- An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- Correlated log-normal random variables under a multiscale volatility model (Q2247624) (← links)
- A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
- Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
- Valuation of credit derivatives with multiple time scales in the intensity model (Q2336889) (← links)
- Efficient simulation of a multi-factor stochastic volatility model (Q2349593) (← links)
- Multiscale analysis on the pricing of intensity-based defaultable bonds (Q2375480) (← links)
- Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
- Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
- Strategic investment decisions under fast mean-reversion stochastic volatility (Q2862421) (← links)
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs (Q2864595) (← links)
- Calibration of Stock Betas from Skews of Implied Volatilities (Q3004479) (← links)
- A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (Q3008488) (← links)
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
- TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
- SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES (Q3304210) (← links)
- Stochastic Volatility Effects on Defaultable Bonds (Q3424326) (← links)