Pages that link to "Item:Q2501093"
From MaRDI portal
The following pages link to Matched asymptotic expansions in financial engineering (Q2501093):
Displayed 21 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- On a free boundary problem for an American put option under the CEV process (Q533479) (← links)
- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives (Q636593) (← links)
- Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
- Stochastic elasticity of variance with stochastic interest rates (Q892883) (← links)
- Matching asymptotics in path-dependent option pricing (Q968852) (← links)
- A new analytical approximation for European puts with stochastic volatility (Q972953) (← links)
- Exact and approximate solutions for options with time-dependent stochastic volatility (Q1630713) (← links)
- An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching (Q1656408) (← links)
- Asymptotics of Barrier Option Pricing Under the CEV Process (Q2786207) (← links)
- Positive numerical solution for a nonarbitrage liquidity model using nonstandard finite difference schemes (Q2874174) (← links)
- Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING (Q3393980) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892) (← links)
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (Q3532293) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- Displaced Diffusion as an Approximation of the Constant Elasticity of Variance (Q3652697) (← links)
- <i>Stochastic Correlation and Volatility Mean-reversion</i>– Empirical Motivation and Derivatives Pricing via Perturbation Theory (Q4586319) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- Hybridized successive complementary expansions for solving convection-dominated 2D elliptic PDEs with boundary layers (Q6095389) (← links)