The pricing of options on assets with stochastic volatilities

Recommendations

STOCHASTIC VOLATILITY
A closed-form solution for options with stochastic volatility with applications to bond and currency options
A closed-form solution for options with stochastic volatility with applications to bond and currency options
Option pricing with stochastic volatility models.
scientific article; zbMATH DE number 2221215

Cited in

(only showing first 100 items - show all)

Nonparametric prediction for the time-dependent volatility of the security price
Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
The cross-section of average delta-hedge option returns under stochastic volatility
Asset pricing under information with stochastic volatility
Development of computational algorithms for evaluating option prices associated with square-root volatility processes
Valuing flexibility: An impulse control framework
Option pricing for stable and infinitely divisible asset returns
Pricing foreign equity option with stochastic volatility
Multi-asset Black-Scholes model as a variable second class constrained dynamical system
Multivariate Wishart stochastic volatility and changes in regime
Asynchronous iterations of parareal algorithm for option pricing models
Monte Carlo calibration to implied volatility surface under volatility models
Weighted average price in the Heston stochastic volatility model
Asymptotics for the Euler-discretized Hull-White stochastic volatility model
The microstructural foundations of leverage effect and rough volatility
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth
Moments and Mellin transform of the asset price in Stein and Stein model and option pricing
A decomposition formula for option prices in the Heston model and applications to option pricing approximation
Risk premium and fair option prices under stochastic volatility: the HARA solution.
Option pricing, stochastic volatility, singular dynamics and constrained path integrals
Stochastic volatility models at = 1 as second class constrained Hamiltonian systems
Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model
Pricing European passport option with radial basis function
Modeling asset price under two-factor Heston model with jumps
Valuation of European option under uncertain volatility model
Model checks for the volatility under microstructure noise
Factor models for option pricing
Asymptotic and exact pricing of options on variance
Hedging for the long run
A finite difference scheme for pricing American put options under Kou's jump-diffusion model
Econometric methods for derivative securities and risk management
A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
Lewis model revisited: option pricing with Lévy processes
Semi-implicit FEM for the valuation of American options under the Heston model
Pricing vulnerable options with stochastic volatility
Valuing options in shot noise market
Optimal reinsurance and investment strategy with delay in Heston's SV model
A European option pricing model in a stochastic and fuzzy environment
Arbitrage-free market models for option prices: the multi-strike case
Stochastic volatility models with application in option pricing
A closed-form solution for outperformance options with stochastic correlation and stochastic volatility
Calibration and simulation of Heston model
Inference for stochastic volatility models using time change transformations
An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
Numerical simulation of a finite moment log stable model for a European call option
A numerical scheme for pricing American options with transaction costs under a jump diffusion process
Computational technique for simulating variable-order fractional Heston model with application in US stock market
Consistency of the maximum likelihood estimator for general hidden Markov models
Comparison results for stochastic volatility models via coupling
Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models
Moment explosions in stochastic volatility models
Efficient estimation of drift parameters in stochastic volatility models
On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
Static versus dynamic hedges: an empirical comparison for barrier options
Are volatility estimators robust with respect to modeling assumptions?
A comparison of option prices under different pricing measures in a stochastic volatility model with correlation
Monotonicity of the value function for a two-dimensional optimal stopping problem
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficent
Identifying the volatility of underlying assets from option prices
Bessel processes, stochastic volatility, and timer options
Testing for continuous local martingales using the crossing tree
Deformed exponentials and applications to finance
An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
Boundary evolution equations for American options
Inference for Lévy-driven stochastic volatility models via adaptive sequential Monte Carlo
Pricing Options with Hybrid Stochastic Volatility Models
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Likelihood-based inference for correlated diffusions
STOCHASTIC VOLATILITY
New evidence on the relation between return volatility and trading volume
Estimation of correlation for continuous semimartingales
Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
Pricing foreign currency options with stochastic volatility
A closed-form solution for options with stochastic volatility with applications to bond and currency options
IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
A multivariate stochastic unit root model with an application to derivative pricing
Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case
A Stochastic Control Approach to the Pricing of Options
scientific article; zbMATH DE number 5283783 (Why is no real title available?)
TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
Asymptotic behavior of distribution densities in models with stochastic volatility. I.
A note on the Dai-Singleton canonical representation of affine term structure models
scientific article; zbMATH DE number 5504674 (Why is no real title available?)
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
American stochastic volatility call option pricing: a lattice based approach
Options markets, self-fulfilling prophecies, and implied volatilities
Calibration and hedging under jump diffusion
Numerical solutions for option pricing models including transaction costs and stochastic volatility
scientific article; zbMATH DE number 1222791 (Why is no real title available?)
A SIMPLE OPTION PRICING MODEL WITH MARKOVIAN VOLATILITIES
Option Pricing With V. G. Martingale Components¹
Option Pricing Under Incompleteness and Stochastic Volatility
Option Pricing with Stochastic Volatility: Information-Time vs. Calendar-Time
Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
Learning minimum variance discrete hedging directly from the market
Pricing via recursive quantization in stochastic volatility models
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model

This page was built for publication: The pricing of options on assets with stochastic volatilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374309)