scientific article
From MaRDI portal
Publication:3374309
zbMath1126.91369MaRDI QIDQ3374309
Publication date: 9 March 2006
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Related Items
Multi-asset Black-Scholes model as a variable second class constrained dynamical system ⋮ Deformed exponentials and applications to finance ⋮ Calibration and simulation of Heston model ⋮ Multivariate Wishart stochastic volatility and changes in regime ⋮ Operator splitting methods for pricing American options under stochastic volatility ⋮ A stochastic correlation model with mean reversion for pricing multi-asset options ⋮ Inference for stochastic volatility models using time change transformations ⋮ Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo ⋮ Properties of multinomial lattices with cumulants for option pricing and hedging ⋮ A generalization of the Hull and White formula with applications to option pricing approximation ⋮ Asynchronous iterations of parareal algorithm for option pricing models ⋮ Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Application of Moore-Penrose inverse in deciding the minimal martingale measure ⋮ 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 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 ⋮ Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type ⋮ Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering ⋮ Monte Carlo calibration to implied volatility surface under volatility models ⋮ Model checks for the volatility under microstructure noise ⋮ Computational technique for simulating variable-order fractional Heston model with application in US stock market ⋮ A spectral element approximation to price European options with one asset and stochastic volatility ⋮ TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS ⋮ Numerical solutions for option pricing models including transaction costs and stochastic volatility ⋮ Hedging for the long run ⋮ Weighted average price in the Heston stochastic volatility model ⋮ Consistency of the maximum likelihood estimator for general hidden Markov models ⋮ Comparison results for stochastic volatility models via coupling ⋮ Asymptotics for the Euler-discretized Hull-White stochastic volatility model ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models ⋮ Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models ⋮ A finite difference scheme for pricing American put options under Kou's jump-diffusion model ⋮ The microstructural foundations of leverage effect and rough volatility ⋮ Valuing options in Heston's stochastic volatility model: another analytical approach ⋮ Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient ⋮ Simulated likelihood inference for stochastic volatility models using continuous particle filtering ⋮ Option pricing under risk-minimization criterion in an incomplete market with the finite difference method ⋮ The Bickel-Rosenblatt test for continuous time stochastic volatility models ⋮ Testing the local volatility assumption: a statistical approach ⋮ Affine fractional stochastic volatility models ⋮ Econometric methods for derivative securities and risk management ⋮ Liquidity risk, price impacts and the replication problem ⋮ Asymptotic analysis for stochastic volatility: martingale expansion ⋮ A sequential Monte Carlo approach for MLE in a plant growth model ⋮ Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching ⋮ On changes of measure in stochastic volatility models ⋮ Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth ⋮ 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 ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Are volatility estimators robust with respect to modeling assumptions? ⋮ Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures ⋮ A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models ⋮ Likelihood-based inference for correlated diffusions ⋮ A European option pricing model in a stochastic and fuzzy environment ⋮ Moments and Mellin transform of the asset price in Stein and Stein model and option pricing ⋮ Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations ⋮ Pricing options under stochastic volatility: a power series approach ⋮ Adjoint-based Monte Carlo calibration of financial methods ⋮ Exchange option pricing under stochastic volatility: a correlation expansion ⋮ A decomposition formula for option prices in the Heston model and applications to option pricing approximation ⋮ Pricing variance swaps for stochastic volatilities with delay and jumps ⋮ A comparison of option prices under different pricing measures in a stochastic volatility model with correlation ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ Arbitrage-free market models for option prices: the multi-strike case ⋮ Lewis model revisited: option pricing with Lévy processes ⋮ State price density estimation via nonparametric mixtures ⋮ BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS ⋮ Option pricing, stochastic volatility, singular dynamics and constrained path integrals ⋮ Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ New evidence on the relation between return volatility and trading volume ⋮ Pricing European passport option with radial basis function ⋮ Modeling asset price under two-factor Heston model with jumps ⋮ Monotonicity of the value function for a two-dimensional optimal stopping problem ⋮ Nonparametric prediction for the time-dependent volatility of the security price ⋮ TESTING FOR CONTINUOUS LOCAL MARTINGALES USING THE CROSSING TREE ⋮ Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models ⋮ Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law ⋮ Valuation of European option under uncertain volatility model ⋮ Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models ⋮ IMPLIED VOLATILITY IN THE HULL-WHITE MODEL ⋮ Development of computational algorithms for evaluating option prices associated with square-root volatility processes ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case ⋮ An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs ⋮ Valuing flexibility: An impulse control framework ⋮ A closed-form solution for outperformance options with stochastic correlation and stochastic volatility ⋮ Estimation of Correlation for Continuous Semimartingales ⋮ Options with constant underlying elasticity in strikes ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS ⋮ Semi-implicit FEM for the valuation of American options under the Heston model ⋮ On the Curvature of the Smile in Stochastic Volatility Models ⋮ European Option Pricing with Stochastic Volatility Models Under Parameter Uncertainty ⋮ 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 ⋮ Power variation and stochastic volatility: a review and some new results ⋮ An impulsive delay discrete stochastic neural network fractional-order model and applications in finance ⋮ Pricing participating policies under the Meixner process and stochastic volatility ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model ⋮ Prices and Asymptotics for Discrete Variance Swaps ⋮ Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance ⋮ An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options ⋮ Bayesian uncertainty quantification of local volatility model ⋮ Adaptive online variance estimation in particle filters: the ALVar estimator ⋮ Goodness–of–Fit Test for Stochastic Volatility Models ⋮ PRICING PERPETUAL TIMER OPTION UNDER THE STOCHASTIC VOLATILITY MODEL OF HULL–WHITE ⋮ Time-Inconsistent Portfolio Investment Problems ⋮ Numerical methods applied to option pricing models with transaction costs and stochastic volatility ⋮ Malliavin differentiability of the Heston volatility and applications to option pricing ⋮ A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options ⋮ PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH ⋮ ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I ⋮ A NOTE ON THE DAI-SINGLETON CANONICAL REPRESENTATION OF AFFINE TERM STRUCTURE MODELS* ⋮ NON‐PARAMETRIC ESTIMATION OF HIGH‐FREQUENCY SPOT VOLATILITY FOR BROWNIAN SEMIMARTINGALE WITH JUMPS ⋮ Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance ⋮ Implied integrated variance and hedging ⋮ A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting ⋮ Stochastic differential equations with generalized stochastic volatility and statistical estimators ⋮ CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ A Stochastic Volatility Alternative to SABR ⋮ Positive numerical splitting method for the <scp>H</scp>ull and <scp>W</scp>hite 2D <scp>B</scp>lack–<scp>S</scp>choles equation