Pages that link to "Item:Q2996524"

The following pages link to A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model (Q2996524):

Displaying 19 items.

• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Pricing of defaultable options with multiscale generalized Heston's stochastic volatility (Q1996984) (← links)
• Calibration of the double Heston model and an analytical formula in pricing American put option (Q2020499) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• To expand and to abandon: real options under asset variance risk premium (Q2116895) (← links)
• Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228) (← links)
• A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
• A decreasing step method for strongly oscillating stochastic models (Q2341638) (← links)
• Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
• Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
• TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (Q3225033) (← links)
• Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
• (Q4582863) (← links)
• American option pricing under double Heston stochastic volatility model: simulation and strong convergence analysis (Q5107393) (← links)
• Lifting the Heston model (Q5120731) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• A regime-switching Heston model for VIX and S&P 500 implied volatilities (Q5247236) (← links)
• (Q6168686) (← links)