A new approach for option pricing under stochastic volatility
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Publication:2425553
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Cites work
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Cited in
(51)- Parameter estimation in CKLS model by continuous observations
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Optimal strategies for a long-term static investor
- Exact and approximate solutions for options with time-dependent stochastic volatility
- On the calibration of the 3/2 model
- On the martingale property in stochastic volatility models based on time-homogeneous diffusions
- Semi-static variance-optimal hedging in stochastic volatility models with Fourier representation
- European option pricing with stochastic volatility models under parameter uncertainty
- A variational approach for pricing options and corporate bounds
- Options on realized variance by transform methods: a non-affine stochastic volatility model
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Extreme-strike comparisons and structural bounds for SPX and VIX options
- LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH
- WIENER CHAOS: A NEW APPROACH TO OPTION HEDGING
- Explicit solution simulation method for the 3/2 model
- A general framework for time-changed Markov processes and applications
- Volatility smile as relativistic effect
- New solvable stochastic volatility models for pricing volatility derivatives
- A new stock model for option pricing in uncertain environment
- Pricing swaps and options on quadratic variation under stochastic time change models -- discrete observations case
- Consistent modelling of VIX and equity derivatives using a \(3/2\) plus jumps model
- Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
- A new method of option pricing based on Black-Scholes model
- Pricing options under stochastic volatility jump model: a stable adaptive scheme
- Local volatility of volatility for the VIX market
- Pricing VIX options in a 3/2 plus jumps model
- Applying hedging strategies to estimate model risk and provision calculation
- Exact simulation of the 3/2 model
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Volatility swaps and volatility options on discretely sampled realized variance
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS
- An integral representation of elasticity and sensitivity for stochastic volatility models
- Tractable hedging with additional hedge instruments
- Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes
- Modeling Variance Risk Premium
- Is the variance swap rate affine in the spot variance? Evidence from S\&P500 data
- Pricing volatility derivatives under the modified constant elasticity of variance model
- Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis
- Option pricing under stochastic volatility models with latent volatility
- Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
- Analysis of VIX markets with a time-spread portfolio
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Discretely sampled variance and volatility swaps versus their continuous approximations
- Pricing exotic discrete variance swaps under the 3/2-stochastic volatility models
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications
- Robust long-term growth rate of expected utility for leveraged ETFs
- The mean-reverting 4/2 stochastic volatility model: properties and financial applications
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