A didactic note on affine stochastic volatility models
From MaRDI portal
Publication:5493554
zbMATH Open1104.60024MaRDI QIDQ5493554FDOQ5493554
Publication date: 23 October 2006
Recommendations
Cited In (31)
- Polynomial processes in stochastic portfolio theory
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Affine forward variance models
- Computation of the Delta of European options under stochastic volatility models
- Time change equations for Lévy-type processes
- COGARCH as a continuous-time limit of GARCH(1,1)
- Approximate Option Pricing in the Lévy Libor Model
- Quadratic hedging in affine stochastic volatility models
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Constant proportion portfolio insurance strategies in contagious markets
- Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations
- Maximum likelihood estimation for reflected Ornstein-Uhlenbeck processes with jumps
- Utility maximization in models with conditionally independent increments
- Weak existence and uniqueness for affine stochastic Volterra equations with \(L^1\)-kernels
- Exponentially affine martingales, affine measure changes and exponential moments of affine processes
- On some functionals of the first passage times in jump models of stochastic volatility
- Geometric Asian option pricing in general affine stochastic volatility models with jumps
- Variance-Optimal Hedging in General Affine Stochastic Volatility Models
- On the duality principle in option pricing: semimartingale setting
- A Unified View of LIBOR Models
- ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY
- Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk
- On stochastic control for time changed Lévy dynamics
- Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
- On a Heath-Jarrow-Morton approach for stock options
- Equivalent martingale measures for Lévy-driven moving averages and related processes
- Smiles \& smirks: volatility and leverage by jumps
- Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
- CBI-time-changed Lévy processes
- On uniqueness of solutions to martingale problems -- counterexamples and sufficient criteria
- Polynomial Jump-Diffusion Models
This page was built for publication: A didactic note on affine stochastic volatility models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5493554)
