Pages that link to "Item:Q4943153"

The following pages link to Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension (Q4943153):

Displaying 50 items.

• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
• Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
• Valuing options in Heston's stochastic volatility model: another analytical approach (Q642746) (← links)
• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (Q659168) (← links)
• Valuation of guaranteed annuity options using a stochastic volatility model for equity prices (Q661249) (← links)
• Robust portfolio optimization with multi-factor stochastic volatility (Q779874) (← links)
• A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
• Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
• On changes of measure in stochastic volatility models (Q937484) (← links)
• On mean exit time from a curvilinear domain (Q956351) (← links)
• Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
• The effect of non-ideal market conditions on option pricing (Q1598567) (← links)
• A hybrid data cloning maximum likelihood estimator for stochastic volatility models (Q1695565) (← links)
• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216) (← links)
• A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator (Q1713627) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
• A closed-form pricing formula for European options under the Heston model with stochastic interest rate (Q1743938) (← links)
• Moments and Mellin transform of the asset price in Stein and Stein model and option pricing (Q1754533) (← links)
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• Analytic solutions for variance swaps with double-mean-reverting volatility (Q2000317) (← links)
• Pricing variable annuity guarantees in a local volatility framework (Q2015631) (← links)
• Neural networks-based backward scheme for fully nonlinear PDEs (Q2022970) (← links)
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness (Q2048130) (← links)
• An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model (Q2100206) (← links)
• Nonlinear pinning control of stochastic network systems (Q2103698) (← links)
• An option pricing approach for measuring solvency capital requirements in insurance industry (Q2153217) (← links)
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
• Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM (Q2203803) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• Modelling joint behaviour of asset prices using stochastic correlation (Q2241515) (← links)
• Heston model: the variance swap calibration (Q2247916) (← links)
• On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
• Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
• Computational aspects of pricing foreign exchange options with stochastic volatility and stochastic interest rates (Q2266898) (← links)
• An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
• A closed-form pricing formula for variance swaps under MRG-Vasicek model (Q2322792) (← links)
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
• The large-maturity smile for the Stein-Stein model (Q2454008) (← links)
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison (Q2466454) (← links)
• Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
• Analytical survival analysis of the Ornstein-Uhlenbeck process (Q2659355) (← links)
• Closed-form formulae for European options under three-factor models (Q2660490) (← links)
• Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
• The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)