Pages that link to "Item:Q3523547"

The following pages link to MEAN-REVERTING STOCHASTIC VOLATILITY (Q3523547):

Displaying 49 items.

• Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas (Q340779) (← links)
• A semigroup expansion for pricing barrier options (Q462410) (← links)
• Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility (Q502541) (← links)
• A remark on a singular perturbation method for option pricing under a stochastic volatility model (Q1044240) (← links)
• Combination of transition probability distribution and stable Lorentz distribution in stock markets (Q2072272) (← 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)
• An accurate European option pricing model under fractional stable process based on Feynman path integral (Q2150099) (← links)
• Generalized optimal liquidation problems across multiple trading venues (Q2165772) (← links)
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470) (← links)
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes (Q2315924) (← links)
• Pricing collar options with stochastic volatility (Q2403864) (← links)
• Asymptotic approach to the pricing of geometric Asian options under the CEV model (Q2410444) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• INVESTOR'S SENTIMENT IN MULTI-AGENT MODEL OF THE CONTINUOUS DOUBLE AUCTION (Q2828057) (← links)
• Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
• A CORRELATED STOCHASTIC VOLATILITY MODEL MEASURING LEVERAGE AND OTHER STYLIZED FACTS (Q3022062) (← links)
• SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029) (← links)
• On non-Gaussianity and dependence in financial time series: a nonextensive approach (Q3375389) (← links)
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (Q3437399) (← links)
• IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562) (← links)
• RENORMALIZATION OF BLACK-SCHOLES EQUATION FOR STOCHASTICALLY FLUCTUATING INTEREST RATE (Q3523592) (← links)
• FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES (Q3523594) (← links)
• Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models (Q3617304) (← links)
• PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q4419301) (← links)
• HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
• On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach (Q4586316) (← links)
• INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS (Q4602498) (← links)
• Statistical analysis of financial time series under the assumption of local stationarity (Q4610227) (← links)
• Pricing Asian options with stochastic volatility (Q4647281) (← links)
• Stochastic differential equations with generalized stochastic volatility and statistical estimators (Q4686483) (← links)
• Stochastic Volatility Corrections for Interest Rate Derivatives (Q4827310) (← links)
• AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
• Trading Signals in VIX Futures (Q5075243) (← links)
• Optimal Trading with Signals and Stochastic Price Impact (Q5097223) (← links)
• OPTION PRICING UNDER THE FRACTIONAL STOCHASTIC VOLATILITY MODEL (Q5158749) (← links)
• Portfolio optimization under the stochastic elasticity of variance (Q5170138) (← links)
• The probability distribution of returns in the exponential Ornstein–Uhlenbeck model (Q5239449) (← links)
• Option pricing under hybrid stochastic and local volatility (Q5397448) (← links)
• Option pricing under stochastic volatility: the exponential Ornstein–Uhlenbeck model (Q5853625) (← links)
• AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) (← links)
• (Q6043631) (← links)
• Optimal investment with correlated stochastic volatility factors (Q6054456) (← links)
• A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
• A stochastic-local volatility model with Lévy jumps for pricing derivatives (Q6160626) (← links)
• (Q6168686) (← links)
• Log-normal stochastic volatility model with quadratic drift (Q6492032) (← links)