The following pages link to (Q4942767):
Displaying 50 items.
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Robust pricing and hedging under trading restrictions and the emergence of local martingale models (Q309166) (← links)
- Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options? (Q315045) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation (Q340795) (← links)
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
- Pricing VIX options with stochastic volatility and random jumps (Q354668) (← links)
- The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137) (← links)
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations (Q373839) (← links)
- Local volatility of volatility for the VIX market (Q385648) (← links)
- Simulation of the CEV process and the local martingale property (Q419443) (← links)
- Space-time analyticity of weak solutions to linear parabolic systems with variable coefficients (Q435852) (← links)
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- Outperforming the market portfolio with a given probability (Q453241) (← links)
- Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
- Hermite polynomial based expansion of European option prices (Q469560) (← links)
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model (Q475659) (← links)
- Option pricing with quadratic volatility: a revisit (Q483708) (← links)
- Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
- The large-maturity smile for the Heston model (Q484212) (← links)
- Simple examples of pure-jump strict local martingales (Q491181) (← links)
- The truncated Euler-Maruyama method for stochastic differential equations (Q492112) (← links)
- Learning, confidence, and option prices (Q494363) (← links)
- A closed form solution for vulnerable options with Heston's stochastic volatility (Q508190) (← links)
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process (Q515757) (← links)
- Valuing options in Heston's stochastic volatility model: another analytical approach (Q642746) (← links)
- On the martingale property of certain local martingales (Q664349) (← links)
- Mean percentage of returns for stock market linked savings accounts (Q668589) (← links)
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility (Q737258) (← links)
- American option pricing under GARCH diffusion model: an empirical study (Q741895) (← links)
- New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
- Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics (Q777638) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Bubbles, convexity and the Black-Scholes equation (Q835063) (← links)
- A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
- Convergence rates of the truncated Euler-Maruyama method for stochastic differential equations (Q898961) (← links)
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- An option pricing formula for the GARCH diffusion model (Q957204) (← links)
- Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
- Adjoint-based Monte Carlo calibration of financial methods (Q964678) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- The Black-Scholes equation in stochastic volatility models (Q973979) (← links)
- Empirical validation of stochastic models of interacting agents (Q978855) (← links)
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility (Q1009405) (← links)
