Pages that link to "Item:Q1398978"

The following pages link to The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978):

Displaying 50 items.

• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
• Option valuation with conditional skewness (Q292018) (← links)
• A Gaussian approximation scheme for computation of option prices in stochastic volatility models (Q295695) (← links)
• Out of sample forecasts of quadratic variation (Q299250) (← links)
• Price discovery in the U.S. stock and stock options markets: a portfolio approach (Q375529) (← links)
• Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
• A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
• Bayesian inference for Heston-STAR models (Q518236) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (Q659085) (← links)
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
• Constant elasticity of variance model for proportional reinsurance and investment strategies (Q661201) (← links)
• A note on convergence rate of a linearization method for the discretization of stochastic differential equations (Q718587) (← links)
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities (Q737279) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• Do interest rate options contain information about excess returns? (Q737991) (← links)
• American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
• Globally optimal parameter estimates for nonlinear diffusions (Q847635) (← links)
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing (Q888485) (← links)
• An option pricing formula for the GARCH diffusion model (Q957204) (← links)
• A class of nonlinear stochastic volatility models and its implications for pricing currency options (Q1010566) (← links)
• Optimal portfolios for DC pension plans under a CEV model (Q1023114) (← links)
• Bayesian option pricing using mixed normal heteroskedasticity models (Q1623554) (← links)
• Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
• Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
• Filtering for partially observed diffusion and its applications (Q1673260) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• The \textit{CEV} model and its application in a study of optimal investment strategy (Q1718118) (← links)
• Bayesian estimation of dynamic asset pricing models with informative observations (Q1740278) (← links)
• Derivatives trading for insurers (Q1757608) (← links)
• Fitting general stochastic volatility models using Laplace accelerated sequential importance sampling (Q1927096) (← links)
• Nonparametric estimation of stochastic volatility models (Q1929062) (← links)
• Optimal pension fund management under risk and uncertainty: the case study of Poland (Q2089448) (← links)
• Measuring systematic risk with neural network factor model (Q2137662) (← links)
• Feedback optimal controllers for the Heston model (Q2187328) (← links)
• Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence (Q2245957) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
• Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility (Q2292185) (← links)
• Variance disparity and market frictions (Q2294445) (← links)
• Optimal reinsurance and investment problem for an insurer with counterparty risk (Q2347114) (← links)
• Market-based estimation of stochastic volatility models (Q2347717) (← links)
• What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
• Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model (Q2406314) (← links)
• A new approach for option pricing under stochastic volatility (Q2425553) (← links)
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model (Q2427824) (← links)
• Optimal investment for the defined-contribution pension with stochastic salary under a CEV model (Q2437134) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)