Pages that link to "Item:Q5388679"
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The following pages link to Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models (Q5388679):
Displaying 10 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Asymptotic analysis for stochastic volatility: Edgeworth expansion (Q638406) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- Model Uncertainty in Commodity Markets (Q3465256) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
- An analytical approximation method for pricing barrier options under the double Heston model (Q5077926) (← links)
- SPECTRAL METHODS FOR THE CALCULATION OF RISK MEASURES FOR VARIABLE ANNUITY GUARANTEED BENEFITS (Q5214828) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
