Pages that link to "Item:Q2707188"
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The following pages link to Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (Q2707188):
Displayed 50 items.
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- Hermite polynomial based expansion of European option prices (Q469560) (← links)
- Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441) (← links)
- Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility (Q484871) (← links)
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
- A simplified analytical approach for pricing discretely-sampled variance swaps with stochastic volatility (Q712573) (← links)
- Statistical specification of jumps under semiparametric semimartingale models (Q734535) (← links)
- Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
- Estimation of parameters for diffusion processes with jumps from discrete observations (Q849862) (← links)
- Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- Determinants of S\&P 500 index option returns (Q941727) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- American option pricing under stochastic volatility: an empirical evaluation (Q970137) (← links)
- Saddlepoint approximations to option prices (Q1305423) (← links)
- The dynamics of stochastic volatility: evidence from underlying and options markets (Q1398978) (← links)
- Empirical option pricing: A retrospection (Q1398987) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- How should a local regime-switching model be calibrated? (Q1655569) (← links)
- European option pricing with transaction costs in Lévy jump environment (Q1724293) (← links)
- Improved maximum likelihood estimation of Heston model and pricing efficiency test: Hong Kong Hang Seng index option (Q1793537) (← links)
- Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes (Q1929374) (← links)
- Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
- Pricing and hedging long-term options (Q1969824) (← links)
- Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
- Bayesian estimation of the stochastic volatility model with double exponential jumps (Q2047037) (← links)
- Combination of transition probability distribution and stable Lorentz distribution in stock markets (Q2072272) (← links)
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
- Exit times, undershoots and overshoots for reflected CIR process with two-sided jumps (Q2195953) (← links)
- Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
- On the valuation of variance swaps with stochastic volatility (Q2250184) (← links)
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (Q2252400) (← links)
- Saddlepoint approximations for affine jump-diffusion models (Q2271604) (← links)
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option (Q2290998) (← links)
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments (Q2445986) (← links)
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison (Q2466454) (← links)
- Saddlepoint approximations to option price in a general equilibrium model (Q2483862) (← links)
- Static hedging under maturity mismatch (Q2516768) (← links)
- On the density of log-spot in the Heston volatility model (Q2638360) (← links)
- Probing option prices for information (Q2642481) (← links)
- Competitively-issued convertible bank notes in a theory of finance: Earl Thompson meets Fischer Black (Q2690344) (← links)
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
- A CLOSED-FORM PRICING FORMULA FOR VARIANCE SWAPS WITH MEAN-REVERTING GAUSSIAN VOLATILITY (Q2925697) (← links)
- A SIMPLE CLOSED-FORM FORMULA FOR PRICING DISCRETELY-SAMPLED VARIANCE SWAPS UNDER THE HESTON MODEL (Q2929384) (← links)
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944) (← links)
- A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY (Q3084598) (← links)