Pages that link to "Item:Q5416704"
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The following pages link to TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704):
Displaying 35 items.
- Additive subordination and its applications in finance (Q309162) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- Intermittency of superpositions of Ornstein-Uhlenbeck type processes (Q505564) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Stochastic distortion and its transformed copula (Q1742719) (← links)
- A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
- A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453) (← links)
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes (Q2095765) (← links)
- Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- Regime Classification and Stock Loan Valuation (Q3387947) (← links)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
- Modelling electricity prices: a time change approach (Q5001192) (← links)
- Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
- Additive normal tempered stable processes for equity derivatives and power-law scaling (Q5072909) (← links)
- Polynomial Jump-Diffusion Models (Q5119413) (← links)
- Forward or backward simulation? A comparative study (Q5139227) (← links)
- Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
- Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
- Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
- Risk‐neutral pricing techniques and examples (Q6054366) (← links)
- Time-squeezing and time-expanding transformations in harmonic force fields (Q6556949) (← links)
- Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market (Q6563136) (← links)
- Exact simulation of a truncated Lévy subordinator (Q6600100) (← links)
- From calendar time to business time: the case of commodity markets (Q6649932) (← links)
