Pages that link to "Item:Q2873036"

The following pages link to Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036):

Displaying 31 items.

• Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (Q1643803) (← links)
• Parameter estimation for long-memory stochastic volatility at discrete observation (Q1724169) (← links)
• Asymptotic theory for rough fractional Vasicek models (Q1738407) (← links)
• Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (Q2059103) (← links)
• Statistical inference for nonergodic weighted fractional Vasicek models (Q2062450) (← links)
• Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (Q2062455) (← links)
• Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets (Q2110494) (← links)
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
• Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
• Path dependent Feynman-Kac formula for forward backward stochastic Volterra integral equations (Q2155507) (← links)
• Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean (Q2167326) (← links)
• Discrete-type approximations for non-Markovian optimal stopping problems. II (Q2218844) (← links)
• Statistical inference for Vasicek-type model driven by Hermite processes (Q2274256) (← links)
• A martingale approach for fractional Brownian motions and related path dependent PDEs (Q2299585) (← links)
• Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
• Sequential Monte Carlo for fractional stochastic volatility models (Q4554435) (← links)
• Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment (Q4579834) (← links)
• Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (Q4629570) (← links)
• Exogenous and endogenous price jumps belong to different dynamical classes (Q5032079) (← links)
• Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion (Q5080070) (← links)
• Discrete-type approximations for non-Markovian optimal stopping problems: Part I (Q5205938) (← links)
• Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model (Q5218384) (← links)
• Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case (Q5222190) (← links)
• Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
• Gaussian and hermite Ornstein–Uhlenbeck processes (Q5880403) (← links)
• Least squares estimations for approximate fractional vasicek model driven by a semimartingale (Q6104221) (← links)