Option valuation under stochastic volatility II. With Mathematica code
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Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
- Proof of non-convergence of the short-maturity expansion for the SABR model
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
- Sticky Feller diffusions
- A new criterion on stability in distribution for a hybrid stochastic delay differential equation
- Analytics on conditional moment generating functions of stochastic volatility models
- VIX options in the SABR model
- Polar coordinates for the 3/2 stochastic volatility model
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility
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