Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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Cited in
(only showing first 100 items - show all)- Robust static hedging of barrier options in stochastic volatility models
- Pricing foreign equity option with stochastic volatility
- A general framework for time-changed Markov processes and applications
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model
- A dimension reduction Shannon-wavelet based method for option pricing
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model
- The Jacobi stochastic volatility model
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Weighted average price in the Heston stochastic volatility model
- Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Computation of powered option prices under a general model for underlying asset dynamics
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Explicit solution simulation method for the 3/2 model
- The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- Estimating option Greeks under the stochastic volatility using simulation
- Levelling the playing field: a VIX-linked structure for funded pension schemes
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- RBF-FD solution for a financial partial-integro differential equation utilizing the generalized multiquadric function
- Weak approximation of Heston model by discrete random variables
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process
- Higher-order weak schemes for the Heston stochastic volatility model by extrapolation
- On the valuation of variance swaps with stochastic volatility
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter?
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- Semi-analytical prices for lookback and barrier options under the Heston model
- Least-squares estimation for the subcritical Heston model based on continuous-time observations
- Accuracy of maximum likelihood parameter estimators for Heston stochastic volatility SDE
- Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps
- Calibration and simulation of Heston model
- Computational technique for simulating variable-order fractional Heston model with application in US stock market
- Density approximations for multivariate affine jump-diffusion processes
- Pricing inflation products with stochastic volatility and stochastic interest rates
- On the density of log-spot in the Heston volatility model
- Fourier based methods for the management of complex life insurance products
- A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
- Comment on: A note on the discontinuity problem in Heston's stochastic volatility model
- Uniform approximation of the Cox-Ingersoll-Ross process
- Bessel processes, stochastic volatility, and timer options
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Expectations of functions of stochastic time with application to credit risk modeling
- Chi-square simulation of the CIR process and the Heston model
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives
- A low-bias simulation scheme for the SABR stochastic volatility model
- Extension of stochastic volatility equity models with the Hull-White interest rate process
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
- Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
- American Option Valuation with Particle Filters
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
- On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
- scientific article; zbMATH DE number 5910754 (Why is no real title available?)
- A closed-form exact solution for pricing variance swaps with stochastic volatility
- Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
- Valuation of power options under Heston's stochastic volatility model
- Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases
- Complex logarithms in Heston-like models
- Exact simulation of the 3/2 model
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation
- Fast numerical pricing of barrier options under stochastic volatility and jumps
- Efficient, almost exact simulation of the Heston stochastic volatility model
- High order discretization schemes for the CIR process: application to affine term structure and heston models
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing
- On an efficient multiple time step Monte Carlo simulation of the SABR model
- Backward simulation methods for pricing American options under the CIR process
- An analysis of a three-factor model proposed by the Danish Society of Actuaries for forecasting and risk analysis
- Prices and asymptotics for discrete variance swaps
- Saddlepoint approximation methods for pricing derivatives on discrete realized variance
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- Explicit Heston solutions and stochastic approximation for path-dependent option pricing
- Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
- Tenor specific pricing
- Evaluating discrete dynamic strategies in affine models
- Enhancing least squares Monte Carlo with diffusion bridges: an application to energy facilities
- Stochastic volatility and stochastic leverage
- Bessel bridges decomposition with varying dimension: applications to finance
- Gamma expansion of the Heston stochastic volatility model
- Nearly exact option price simulation using characteristic functions
- Pricing joint claims on an asset and its realized variance in stochastic volatility models
- Exact simulation of generalised Vervaat perpetuities
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Artificial boundary method for European pricing option problem
- Series Expansions and Direct Inversion for the Heston Model
- On the estimation of jump-diffusion models using intraday data: a filtering-based approach
- Valuation of forward start options under affine jump-diffusion models
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
- Moments of integrated exponential Lévy processes and applications to Asian options pricing
- An Efficient Numerical Scheme for the Solution of a Stochastic Volatility Model Including Contemporaneous Jumps in Finance
- Reducing bias in event time simulations via measure changes
- Modeling the risk in mortality projections
- COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS
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