Pricing of mountain range derivatives under a principal component stochastic volatility model

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.936 ◽

2012 ◽

Vol 29 (1) ◽

pp. 31-44 ◽

Author(s):

Marcos Escobar ◽

Pablo Olivares

Keyword(s):

Stochastic Volatility ◽

Principal Component ◽

Stochastic Volatility Model ◽

Mountain Range ◽

Volatility Model

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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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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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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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Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1360241 ◽

2009 ◽

Author(s):

Hwagyun Kim ◽

Hyoung Il Lee ◽

Joon Y. Park ◽

Hyosung Yeo

Keyword(s):

Stochastic Volatility ◽

Asset Prices ◽

Stochastic Volatility Model ◽

Macroeconomic Uncertainty ◽

Volatility Model

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Forecasting Future Volatility from Option Prices under the Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.1416638 ◽

2009 ◽

Author(s):

Suk-Joon Byun ◽

Sol Kim ◽

Dongwoo Rhee

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Option Prices ◽

Volatility Model

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Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails

SSRN Electronic Journal ◽

10.2139/ssrn.275500 ◽

2001 ◽

Author(s):

Eric Jacquier ◽

Nick Polson ◽

Peter E. Rossi

Keyword(s):

Bayesian Analysis ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Leverage Effect ◽

Fat Tails ◽

Volatility Model

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Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model

SSRN Electronic Journal ◽

10.2139/ssrn.2862657 ◽

2016 ◽

Author(s):

Zhenyu Cui ◽

Runhuan Feng ◽

MacKay Anne

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Variable Annuities ◽

Fee Structure ◽

Volatility Model

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Pricing perpetual timer option under the stochastic volatility model of Hull–White

ANZIAM Journal ◽

10.21914/anziamj.v58i0.11281 ◽

2017 ◽

Vol 58 ◽

pp. 406

Author(s):

Jichao Zhang ◽

Xiaoping Lu ◽

Yuecai Han

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Volatility Model

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Closed-Form Solutions for European and Digital Calls in the Hull and White Stochastic Volatility Model and Their Relation to Locally R-Minimizing and Delta Hedges

SSRN Electronic Journal ◽

10.2139/ssrn.957807 ◽

2007 ◽

Author(s):

Christian-Oliver Ewald ◽

Klaus Reiner Schenk-Hoppé ◽

Zhaojun Yang

Keyword(s):

Closed Form ◽

Stochastic Volatility ◽

Stochastic Volatility Model ◽

Closed Form Solutions ◽

Volatility Model

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