BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS
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Publication:2788692
DOI10.1111/mafi.12041zbMath1331.91180OpenAlexW1498121447MaRDI QIDQ2788692
Publication date: 22 February 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12041
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (8)
Optimal investment of variance-swaps in jump-diffusion market with regime-switching ⋮ Valuing of timer path-dependent options ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS ⋮ PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE ⋮ Unnamed Item ⋮ Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model ⋮ Timer option pricing of stochastic volatility model with changing coefficients under time-varying interest rate
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