Valuation equations for stochastic volatility models
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- Bayraktar, Erhan & Kardaras, Constantinos & Xing, Hao, 2012. "Valuation equations for stochastic volatility models," LSE Research Online Documents on Economics 43460, London School of Economics and Political Science, LSE Library.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Archil Gulisashvili, 2017. "Large deviation principle for Volterra type fractional stochastic volatility models," Papers 1710.10711, arXiv.org, revised Jan 2018.
- Paul M. N. Feehan & Ruoting Gong & Jian Song, 2015. "Feynman-Kac Formulas for Solutions to Degenerate Elliptic and Parabolic Boundary-Value and Obstacle Problems with Dirichlet Boundary Conditions," Papers 1509.03864, arXiv.org.
- Xiaoshan Chen & Yu-Jui Huang & Qingshuo Song & Chao Zhu, 2013. "The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations," Papers 1309.0046, arXiv.org, revised Mar 2017.
- Keller-Ressel, Martin, 2015. "Simple examples of pure-jump strict local martingales," Stochastic Processes and their Applications, Elsevier, vol. 125(11), pages 4142-4153.
- Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015. "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 34-48.
- Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Working Papers hal-00814702, HAL.
- Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
- Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
- Martin Keller-Ressel, 2014. "Simple examples of pure-jump strict local martingales," Papers 1405.2669, arXiv.org, revised Jun 2015.
- Chen Xiaoshan & Song Qingshuo, 2013. "American option of stochastic volatility model with negative Fichera function on degenerate boundary," Papers 1306.0345, arXiv.org.
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- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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