Pages that link to "Item:Q4825509"

The following pages link to Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type (Q4825509):

Displaying 50 items.

• Superreplication when trading at market indifference prices (Q261922) (← links)
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Stochastic volatility and stochastic leverage (Q470516) (← links)
• Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
• Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
• A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches (Q506065) (← links)
• Local risk-minimization for Barndorff-Nielsen and Shephard models (Q522068) (← links)
• Pricing Asian options in a stochastic volatility model with jumps (Q529935) (← links)
• On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps (Q535466) (← links)
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
• Multivariate supOU processes (Q627238) (← links)
• A normal inverse Gaussian model for a risky asset with dependence (Q654485) (← links)
• Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
• The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
• Pricing and hedging Asian-style options on energy (Q889623) (← links)
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499) (← links)
• Mortality modelling with Lévy processes (Q939382) (← links)
• Option pricing model based on a Markov-modulated diffusion with jumps (Q985996) (← links)
• Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection (Q997294) (← links)
• Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models (Q1023616) (← links)
• A tale of two volatilities (Q1037571) (← links)
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
• Moments of the asset price for the Barndorff-Nielsen and Shephard model (Q1728116) (← links)
• Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
• Ornstein-Uhlenbeck processes for geophysical data analysis (Q1782641) (← links)
• Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes (Q1927109) (← links)
• Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging (Q2063058) (← links)
• Volatility estimation and jump detection for drift-diffusion processes (Q2190225) (← links)
• A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
• A generalized hyperbolic model for a risky asset with dependence (Q2231023) (← links)
• Volatility and variance swap using superposition of the Barndorff-Nielsen and Shephard type Lévy processes (Q2278860) (← links)
• Exponential moments of affine processes (Q2341630) (← links)
• Symmetry and Bates' rule in Ornstein-Uhlenbeck stochastic volatility models (Q2343101) (← links)
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option (Q2422168) (← links)
• Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes (Q2445712) (← links)
• Stability of infinite dimensional stochastic evolution equations with memory and Markovian jumps (Q2483471) (← links)
• Asymptotic expansion for Barndorff-Nielsen and Shephard's stochastic volatility model (Q2485477) (← links)
• Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020) (← links)
• On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
• Discrete-time approximation of functionals in models of Ornstein-Uhlenbeck type, with applications to finance (Q2516384) (← links)
• Probing option prices for information (Q2642481) (← links)
• Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
• General Optimized Lower and Upper Bounds for Discrete and Continuous Arithmetic Asian Options (Q2806817) (← links)
• Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
• Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion (Q2813080) (← links)
• GENERALIZED BARNDORFF-NIELSEN AND SHEPHARD MODEL AND DISCRETELY MONITORED OPTION PRICING (Q2814674) (← links)
• THE AFFINE LIBOR MODELS (Q2851558) (← links)
• Measuring expectations in options markets: an application to the S&P500 index (Q2866371) (← links)
• Options on realized variance and convex orders (Q2866381) (← links)