Analytics on conditional moment generating functions of stochastic volatility models
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A decomposition of Bessel Bridges
- A Fourier-based valuation method for Bermudan and barrier options under Heston's model
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- Exact simulation of the 3/2 model
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Exact simulation of the Wishart multidimensional stochastic volatility model
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 5354344 (Why is no real title available?)
- Mathematical methods for financial markets.
- On the density of log-spot in the Heston volatility model
- Option valuation under stochastic volatility II. With Mathematica code
- Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Term-structure models. A graduate course
- THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
- The calculation of expectations for classes of diffusion processes by Lie symmetry methods
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