The Weighted Variance Minimization in Jump-Diffusion Stochastic Volatility Models

Monte Carlo and Quasi-Monte Carlo Methods 2008 ◽

10.1007/978-3-642-04107-5_24 ◽

2009 ◽

pp. 383-394 ◽

Cited By ~ 1

Author(s):

Anatoly Gormin ◽

Yuri Kashtanov

Keyword(s):

Stochastic Volatility ◽

Jump Diffusion ◽

Stochastic Volatility Models ◽

Variance Minimization ◽

Volatility Models

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Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion

International Journal of Computer Mathematics ◽

10.1080/00207160.2013.866654 ◽

2014 ◽

Vol 91 (9) ◽

pp. 2039-2059 ◽

Cited By ~ 1

Author(s):

Junmei Ma ◽

Chenglong Xu

Keyword(s):

Monte Carlo ◽

Stochastic Volatility ◽

Jump Diffusion ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Acceleration Method

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Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus

Mathematical Sciences ◽

10.1007/s40096-020-00371-4 ◽

2021 ◽

Author(s):

Minoo Bakhshmohammadlou ◽

Rahman Farnoosh

Keyword(s):

Stochastic Volatility ◽

Malliavin Calculus ◽

Jump Diffusion ◽

Stochastic Volatility Models ◽

Volatility Models

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Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models

Stochastic Analysis and Applications ◽

10.1080/07362994.2012.668440 ◽

2012 ◽

Vol 30 (3) ◽

pp. 403-425 ◽

Cited By ~ 4

Author(s):

Asma Khedher

Keyword(s):

Stochastic Volatility ◽

Jump Diffusion ◽

Stochastic Volatility Models ◽

Volatility Models

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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 ◽

Cited By ~ 1

Author(s):

Fabien Le Floc'h

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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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 ◽

Cited By ~ 6

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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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think

SSRN Electronic Journal ◽

10.2139/ssrn.231165 ◽

2000 ◽

Cited By ~ 3

Author(s):

Sassan Alizadeh ◽

Michael W. Brandt ◽

Francis X. Diebold

Keyword(s):

Exchange Rate ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Exchange Rate Dynamics ◽

Volatility Models

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Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2339504 ◽

2013 ◽

Cited By ~ 2

Author(s):

Chi Yuen ◽

Wendong Zheng ◽

Yue Kuen Kwok

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Variance Swaps ◽

Volatility Models

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Computing Journal: Stochastic-volatility Models with Optional Jumps

SSRN Electronic Journal ◽

10.2139/ssrn.2487746 ◽

2007 ◽

Author(s):

Anna Pretre ◽

Gabriele Susinno

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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Asymmetric Stochastic Volatility Models: Properties and Estimation

SSRN Electronic Journal ◽

10.2139/ssrn.2544473 ◽

2015 ◽

Cited By ~ 1

Author(s):

Xiuping Mao ◽

Esther Ruiz ◽

Helena Veiga ◽

Veronika Czellar

Keyword(s):

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models

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