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Production technologies in stochastic continuous time models

Wälde, Klaus - 2009

Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a...

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Modeling loss given default with stochastic collateral

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New solvable stochastic volatility models for pricing volatility derivatives

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Population dynamics and utilitarian criteria in the Lucas-Uzawa Model

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Evaluation of geometric Asian power options under fractional Brownian motion

Mao, Zhijuan; Liang, Zhian - In: Journal of mathematical finance 4 (2014) 1, pp. 1-9

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Solving asset pricing models with stochastic volatility

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Pricing options under stochastic interest rate and the Frasca-Farina process : a simple, explicit formula

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A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model

Li, Shaoyu; Zhang, Yuanyuan; Zhu, Chunhui - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-19

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Stochastic continuous time growth models that allow for closed form solutions

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A closed-form solution for the stochastic volatility model with applications on international stock markets

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