Pages that link to "Item:Q1011280"
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The following pages link to Option pricing with mean reversion and stochastic volatility (Q1011280):
Displaying 39 items.
- Variance swap with mean reversion, multifactor stochastic volatility and jumps (Q319633) (← links)
- Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- On moment non-explosions for Wishart-based stochastic volatility models (Q323428) (← links)
- Valuation of commodity derivatives with an unobservable convenience yield (Q342244) (← links)
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Valuation of power plants (Q1754195) (← links)
- Wavelet-based option pricing: an empirical study (Q1991243) (← links)
- FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
- Option pricing with conditional GARCH models (Q2028829) (← links)
- A real options based decision support tool for R\&D investment: application to CO\(_2\) recycling technology (Q2029058) (← links)
- CDS pricing with fractional Hawkes processes (Q2060433) (← links)
- Kalman filter approach to real options with active learning (Q2090119) (← links)
- To expand and to abandon: real options under asset variance risk premium (Q2116895) (← links)
- Quasi-closed-form solution and numerical method for currency option with uncertain volatility model (Q2156574) (← links)
- Pricing and hedging foreign equity options under Hawkes jump-diffusion processes (Q2164552) (← links)
- Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: do fish jump? (Q2240016) (← links)
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (Q2252400) (← links)
- Optimizing bounds on security prices in incomplete markets. Does stochastic volatility specification matter? (Q2253520) (← links)
- Forecasting the volatility of crude oil futures using intraday data (Q2256329) (← links)
- VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
- Long-term swings and seasonality in energy markets (Q2315654) (← links)
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (Q2657004) (← links)
- COORDINATION MECHANISM COMBINING SUPPLY CHAIN OPTIMIZATION AND RULE IN EXCHANGE (Q2868186) (← links)
- Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model (Q4555139) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Rare Shock, Two-Factor Stochastic Volatility and Currency Option Pricing (Q4585900) (← links)
- Regime-switching stochastic volatility model: estimation and calibration to VIX options (Q4610208) (← links)
- Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models (Q5078514) (← links)
- AN ANALYTICAL OPTION PRICING FORMULA FOR MEAN-REVERTING ASSET WITH TIME-DEPENDENT PARAMETER (Q5158753) (← links)
- Unlocking the black box: non-parametric option pricing before and during COVID-19 (Q6547037) (← links)
- Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
- Variance swaps with mean reversion and multi-factor variance (Q6554616) (← links)
- Modelling the industrial production of electric and gas utilities through the \(CIR^3\) model (Q6594798) (← links)
