Pages that link to "Item:Q896797"

The following pages link to A closed-form formula for the conditional moments of the extended CIR process (Q896797):

Displaying 10 items.

• Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
• Analytically pricing volatility swaps and volatility options with discrete sampling: nonlinear payoff volatility derivatives (Q2025470) (← links)
• Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes (Q2060664) (← links)
• Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process (Q2071035) (← links)
• Valuation of volatility derivatives with time-varying volatility: an analytical probabilistic approach using a mixture distribution for pricing nonlinear payoff volatility derivatives in discrete observation case (Q2088813) (← links)
• Higher-order weak schemes for the Heston stochastic volatility model by extrapolation (Q2235889) (← links)
• (Q5040907) (← links)
• (Q5080606) (← links)
• Distributional properties of continuous time processes: from CIR to bates (Q6065669) (← links)
• Multilevel Monte Carlo using approximate distributions of the CIR process (Q6157841) (← links)