The following pages link to (Q4509488):
Displaying 50 items.
- Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
- A generic decomposition formula for pricing vanilla options under stochastic volatility models (Q274843) (← links)
- Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
- Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
- An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
- Strategic real options with stochastic volatility in a duopoly model (Q336214) (← links)
- An infinite time horizon portfolio optimization model with delays (Q338659) (← links)
- Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas (Q340779) (← links)
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation (Q340795) (← links)
- An empirical comparison of two stochastic volatility models using Indian market data (Q370874) (← links)
- Maximum likelihood estimation for small noise multiscale diffusions (Q376710) (← links)
- Numerical solution of variational inequalities: localization with Dirichlet conditions (Q380731) (← links)
- Explicit solutions for an optimal stock selling problem under a Markov chain model (Q401059) (← links)
- Estimation of the instantaneous volatility (Q411549) (← links)
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
- Optimal control with random parameters: a multiscale approach (Q431771) (← links)
- Stability of a pure random delay system with two-time-scale Markovian switching (Q432478) (← links)
- Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
- Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients (Q435852) (← links)
- Stochastic volatility asymptotics of stock loans: valuation and optimal stopping (Q439269) (← links)
- Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
- Absolute continuity for some one-dimensional processes (Q453264) (← links)
- A regime-switching model with the volatility smile for two-asset European options (Q462338) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- A semigroup expansion for pricing barrier options (Q462410) (← links)
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- Hermite polynomial based expansion of European option prices (Q469560) (← links)
- Option pricing under a stressed-beta model (Q470515) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- Estimation and pricing under long-memory stochastic volatility (Q470523) (← links)
- Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility (Q470525) (← links)
- Stochastic volatility model and technical analysis of stock price (Q475736) (← links)
- Pricing American continuous-installment options under stochastic volatility model (Q482015) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility (Q502541) (← links)
- Market completion with derivative securities (Q503398) (← links)
- Efficient option risk measurement with reduced model risk (Q506084) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- A delayed stochastic volatility correction to the constant elasticity of variance model (Q517196) (← links)
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility (Q547966) (← links)
- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461) (← links)
- Homotopy analysis method for option pricing under stochastic volatility (Q550482) (← links)
- Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) (← links)
- Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
- An optimal portfolio model with stochastic volatility and stochastic interest rate (Q615916) (← links)
- A numerical analysis of American options with regime switching (Q618604) (← links)
- A smooth estimator for MC/QMC methods in finance (Q622177) (← links)
- Minimizing the probability of lifetime ruin under stochastic volatility (Q634006) (← links)
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445) (← links)
- An insurance risk model with stochastic volatility (Q659182) (← links)
