Lévy Models with Stochastic Volatility

Lévy Processes in Finance - Wiley Series in Probability and Statistics ◽

10.1002/0470870230.ch7 ◽

2003 ◽

pp. 85-99

Keyword(s):

Stochastic Volatility

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FUZZY UNCERTAINTY IN THE HESTON STOCHASTIC VOLATILITY MODEL

FUZZY ECONOMIC REVIEW ◽

10.25102/fer.2011.02.01 ◽

2011 ◽

Vol 16 (02) ◽

Author(s):

G. Figà-Talamanca ◽

M. L. Guerra ◽

L. Stefanini

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Fuzzy Uncertainty ◽

Volatility Model

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Introducing two mixing fractions to a lognormal local-stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2020.389 ◽

2020 ◽

Author(s):

Bowie Owens ◽

Zili Zhu ◽

Geoffrey Lee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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An adaptive Filon quadrature for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2018.356 ◽

2018 ◽

Vol 22 (3) ◽

pp. 65-88 ◽

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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A non-Gaussian stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.1998.023 ◽

1998 ◽

Vol 2 (2) ◽

pp. 33-47 ◽

Author(s):

Yuichi Nagahara ◽

Genshiro Kitagawa

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model ◽

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A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

The Journal of Risk ◽

10.21314/jor.2014.297 ◽

2014 ◽

Vol 17 (2) ◽

pp. 3-19 ◽

Author(s):

Matthew Lorig ◽

Stefano Pagliarani ◽

Andrea Pascucci

Keyword(s):

Stochastic Volatility ◽

Taylor Series ◽

Implied Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Simple and efficient simulation of the Heston stochastic volatility model

The Journal of Computational Finance ◽

10.21314/jcf.2008.189 ◽

2008 ◽

Vol 11 (3) ◽

pp. 1-42 ◽

Author(s):

Leif Andersen

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Efficient Simulation ◽

Volatility Model

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Option Hedging with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1031927 ◽

1998 ◽

Author(s):

Adam Kurpiel ◽

Thierry Roncalli

Keyword(s):

Stochastic Volatility ◽

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Modigliani Miller Investment Implications: A Put Option Theory of Capital Structure and Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1079662 ◽

2011 ◽

Author(s):

William A. Barr

Keyword(s):

Capital Structure ◽

Stochastic Volatility ◽

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Parameter Averaging of Quadratic SDEs With Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1339971 ◽

2009 ◽

Author(s):

Leif B. G. Andersen ◽

Nicolas A. Hutchings

Keyword(s):

Stochastic Volatility

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