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Simulation schemes for the Heston model with Poisson conditioning
Choi, Jaehyuk; Kwok, Yue-Kuen - In: European journal of operational research : EJOR 314 (2024) 1, pp. 363-376
Persistent link: https://www.econbiz.de/10014456865
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Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
Li, Chenxu; Wu, Linjia - In: European journal of operational research : EJOR 275 (2019) 2, pp. 768-779
Persistent link: https://www.econbiz.de/10011993586
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Discrete time modeling of mean-reverting stochastic processes for real option valuation
Hahn, Warren J.; Dyer, James S. - In: European journal of operational research : EJOR 184 (2008) 2, pp. 534-548
Persistent link: https://www.econbiz.de/10003768285
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Variance swap with mean reversion, multifactor stochastic volatility and jumps
Pun, Chi Seng; Chung, Shing Fung; Wong, Hoi Ying - In: European journal of operational research : EJOR 245 (2015) 2, pp. 571-580
Persistent link: https://www.econbiz.de/10011308968
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Optimizing bounds on security prices in incomplete markets : does stochastic volatility specification matter?
Marroquín-Martínez, Naroa; Moreno, Manuel - In: European journal of operational research : EJOR 225 (2013) 3, pp. 429-442
Persistent link: https://www.econbiz.de/10009706918
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An explicitly solvable Heston model with stochastic interest rate
Recchioni, M. C.; Sun, Y. - In: European journal of operational research : EJOR 249 (2016) 1, pp. 359-377
Persistent link: https://www.econbiz.de/10011435870
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On moment non-explosions for Wishart-based stochastic volatility models
Fonseca, José da - In: European journal of operational research : EJOR 254 (2016) 3, pp. 889-894
Persistent link: https://www.econbiz.de/10011521879
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A fast calibrating volatility model for option pricing
Date, Paresh; Islyaev, Suren - In: European journal of operational research : EJOR 243 (2015) 2, pp. 599-606
Persistent link: https://www.econbiz.de/10010510013
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468
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Option pricing with mean reversion and stochastic volatility
Wong, Hoi Ying; Lo, Yu Wai - In: European journal of operational research : EJOR 197 (2009) 1, pp. 179-187
Persistent link: https://www.econbiz.de/10003828865