Pages that link to "Item:Q5374080"

The following pages link to A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (Q5374080):

Displayed 50 items.

• Study on option pricing in an incomplete market with stochastic volatility based on risk premium analysis (Q596915) ‎ (← links)
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. (Q703247) ‎ (← links)
• Options with constant underlying elasticity in strikes (Q812141) ‎ (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) ‎ (← links)
• A complete-market generalization of the Black-Scholes model (Q853864) ‎ (← links)
• Consistent variance curve models (Q854272) ‎ (← links)
• Comparison of option prices in semimartingale models (Q854274) ‎ (← links)
• A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) ‎ (← links)
• Computable infinite-dimensional filters with applications to discretized diffusion processes (Q855688) ‎ (← links)
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) ‎ (← links)
• An empirical comparison of GARCH option pricing models (Q867119) ‎ (← links)
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets (Q867122) ‎ (← links)
• Boltzmann-Gibbs distribution of fortune and broken time reversible symmetry in econodynamics (Q868055) ‎ (← links)
• Simultaneous perturbation stochastic approximation of nonsmooth functions (Q877602) ‎ (← links)
• Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) ‎ (← links)
• Characterisation of optimal dual measures via distortion (Q882491) ‎ (← links)
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions (Q885945) ‎ (← links)
• The structure of optimal consumption streams in general incomplete markets (Q926391) ‎ (← links)
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297) ‎ (← links)
• Jump diffusion model with application to the Japanese stock market (Q929689) ‎ (← links)
• Numerical pricing of options using high-order compact finite difference schemes (Q932713) ‎ (← links)
• Fascination financial mathematics: problems, methods and principles (Q934743) ‎ (← 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)
• GARCH option pricing: A semiparametric approach (Q938035) ‎ (← links)
• Path dependent volatility (Q940996) ‎ (← links)
• Determinants of S\&P 500 index option returns (Q941727) ‎ (← links)
• Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) ‎ (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) ‎ (← links)
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems (Q946223) ‎ (← links)
• Marginal distribution of some path-dependent stochastic volatility model (Q947188) ‎ (← links)
• Hedging options under transaction costs and stochastic volatility (Q951343) ‎ (← links)
• An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) ‎ (← links)
• Small dimension PDE for discrete Asian options (Q951412) ‎ (← links)
• Efficient solution of a partial integro-differential equation in finance (Q952815) ‎ (← links)
• Online estimation of time-varying volatility using a continuous-discrete LMS algorithm (Q955357) ‎ (← links)
• Recent developments in volatility modeling and applications (Q955468) ‎ (← links)
• On mean exit time from a curvilinear domain (Q956351) ‎ (← links)
• Option pricing with an illiquid underlying asset market (Q956485) ‎ (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) ‎ (← links)
• Equilibrium impact of value-at-risk regulation (Q956555) ‎ (← links)
• An option pricing formula for the GARCH diffusion model (Q957204) ‎ (← links)
• Comparing stochastic volatility models through Monte Carlo simulations (Q959262) ‎ (← links)
• Filtering and identification of Heston's stochastic volatility model and its market risk (Q959679) ‎ (← links)
• Catalytic discrete state branching models and related limit theorems (Q960182) ‎ (← links)
• Likelihood-based inference for a class of multivariate diffusions with unobserved paths (Q997298) ‎ (← links)
• Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) ‎ (← links)
• Non-ideal Brownian motion, generalized Langevin equation and its application to the security market (Q1000401) ‎ (← links)
• Valuation of FX barrier options under stochastic volatility (Q1000409) ‎ (← links)
• Laplace approximation of transition densities posed as Brownian expectations (Q1001846) ‎ (← links)