Pages that link to "Item:Q5939263"

The following pages link to An affine property of the reciprocal Asian option process (Q5939263):

Displaying 24 items.

• Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
• A closed-form formula for the conditional moments of the extended CIR process (Q896797) (← links)
• On Bougerol and Dufresne's identities for exponential Brownian functionals (Q1283165) (← links)
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. (Q1596544) (← links)
• On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof (Q1827551) (← links)
• Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043) (← links)
• Linearized filtering of affine processes using stochastic Riccati equations (Q2289789) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models (Q2360965) (← links)
• On the density of log-spot in the Heston volatility model (Q2638360) (← links)
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
• The Formation of Financial Bubbles in Defaultable Markets (Q2941472) (← links)
• The square-root process and Asian options (Q3437388) (← links)
• Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
• The log-normal approximation in financial and other computations (Q4662236) (← links)
• Implied integrated variance and hedging (Q4683083) (← links)
• Finite- and Infinite-Time Ruin Probabilities with General Stochastic Investment Return Processes and Bivariate Upper Tail Independent and Heavy-Tailed Claims (Q4915657) (← links)
• Self-exciting jump processes and their asymptotic behaviour (Q5056593) (← links)
• (Q5080606) (← links)
• Deep hedging (Q5234357) (← links)
• Closed-form convexity and cross-convexity adjustments for Heston prices (Q5300440) (← links)
• From Moment Explosion to the Asymptotic Behavior of the Cumulative Distribution for a Random Variable (Q5369323) (← links)
• The Randomized Heston Model (Q5742496) (← links)
• Multilevel Monte Carlo simulation for the Heston stochastic volatility model (Q6144993) (← links)