MEAN-REVERTING STOCHASTIC VOLATILITY
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- scientific article; zbMATH DE number 6521211
- Mean volatility regressions
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- A generalised stochastic volatility in mean VAR
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- Option pricing with mean reversion and stochastic volatility
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A Risk-Neutral Stochastic Volatility Model
- Adaptive covariance estimation of locally stationary processes
- ARCH models as diffusion approximations
- Calibrating volatility surfaces via relative-entropy minimization
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Stock price distributions with stochastic volatility: an analytic approach
Cited in
(63)- Financial modeling in a fast mean-reverting stochastic volatility environment
- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- A generalised stochastic volatility in mean VAR
- Combination of transition probability distribution and stable Lorentz distribution in stock markets
- To expand and to abandon: real options under asset variance risk premium
- Pricing of vulnerable options under hybrid stochastic and local volatility
- An accurate European option pricing model under fractional stable process based on Feynman path integral
- Generalized optimal liquidation problems across multiple trading venues
- Dynamics of a mean-reverting stochastic volatility equation with regime switching
- An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Pricing collar options with stochastic volatility
- Asymptotic approach to the pricing of geometric Asian options under the CEV model
- Periodic autoregressive stochastic volatility
- An iterative splitting method for pricing European options under the Heston model
- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
- Delta-hedging in fractional volatility models
- scientific article; zbMATH DE number 1642341 (Why is no real title available?)
- Investor's sentiment in multi-agent model of the continuous double auction
- Stochastic volatility and option pricing with long-memory in discrete and continuous time
- A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
- Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
- IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
- RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE
- FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Pricing options on mean reverting underliers
- HARA utility maximization in a Markov-switching bond-stock market
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- Statistical analysis of financial time series under the assumption of local stationarity
- A semigroup expansion for pricing barrier options
- Pricing Asian options with stochastic volatility
- Stochastic differential equations with generalized stochastic volatility and statistical estimators
- Stochastic Volatility Corrections for Interest Rate Derivatives
- An implied volatility model determined by credit default swaps
- Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
- Trading signals in VIX futures
- Optimal trading with signals and stochastic price impact
- scientific article; zbMATH DE number 7295154 (Why is no real title available?)
- Option pricing under the fractional stochastic volatility model
- Portfolio optimization under the stochastic elasticity of variance
- The probability distribution of returns in the exponential Ornstein-Uhlenbeck model
- Option pricing under hybrid stochastic and local volatility
- Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
- An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models
- Pricing American lookback options under a stochastic volatility model
- Volatility is (mostly) path-dependent
- Optimal investment with correlated stochastic volatility factors
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model
- Simulation of Conditional Expectations Under Fast Mean-Reverting Stochastic Volatility Models
- A stochastic-local volatility model with Lévy jumps for pricing derivatives
- The pricing of vulnerable foreign exchange options under a multiscale stochastic volatility model
- Log-normal stochastic volatility model with quadratic drift
- Pricing of timer volatility-barrier options under Heston's stochastic volatility model
- A unified model of SABR and mean-reverting stochastic volatility for derivative pricing
- Improved accuracy of an analytical approximation for option pricing under stochastic volatility models using deep learning techniques
- Valuation of options subject to default risk under a mixed fractional and multiscale stochastic volatility model
- Pricing American option with a slow-varying stochastic factor
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