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There are 21848 results for: content related to: Pricing Stock Options in a Jump-Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods

  1. Robustness of the Black and Scholes Formula

    Mathematical Finance

    Volume 8, Issue 2, April 1998, Pages: 93–126, Nicole El Karoui, Monique Jeanblanc-Picquè and Steven E. Shreve

    Version of Record online : 5 JAN 2002, DOI: 10.1111/1467-9965.00047

  2. COMPLEX LOGARITHMS IN HESTON-LIKE MODELS

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 671–694, Roger Lord and Christian Kahl

    Version of Record online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00416.x

  3. Long memory in continuous-time stochastic volatility models

    Mathematical Finance

    Volume 8, Issue 4, October 1998, Pages: 291–323, Fabienne Comte and Eric Renault

    Version of Record online : 5 JAN 2002, DOI: 10.1111/1467-9965.00057

  4. Testing Option Pricing Models with Stochastic Volatility, Random Jumps and Stochastic Interest Rates

    International Review of Finance

    Volume 3, Issue 3-4, September 2002, Pages: 233–272, George J. Jiang

    Version of Record online : 23 DEC 2004, DOI: 10.1111/j.1369-412X.2002.00040.x

  5. Transform Analysis and Asset Pricing for Affine Jump-diffusions

    Econometrica

    Volume 68, Issue 6, November 2000, Pages: 1343–1376, Darrell Duffie, Jun Pan and Kenneth Singleton

    Version of Record online : 10 DEC 2003, DOI: 10.1111/1468-0262.00164

  6. Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium

    Mathematical Finance

    Volume 9, Issue 1, January 1999, Pages: 1–30, Suleyman Basak and Michael Gallmeyer

    Version of Record online : 25 DEC 2001, DOI: 10.1111/1467-9965.00061

  7. European-Type Contingent Claims in an Incomplete Market with Constrained Wealth and Portfolio

    Mathematical Finance

    Volume 9, Issue 4, October 1999, Pages: 387–412, Jiongmin Yong

    Version of Record online : 25 DEC 2001, DOI: 10.1111/1467-9965.00076

  8. Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

    Communications on Pure and Applied Mathematics

    Volume 67, Issue 1, January 2014, Pages: 40–82, J. D. Deuschel, P. K. Friz, A. Jacquier and S. Violante

    Version of Record online : 12 AUG 2013, DOI: 10.1002/cpa.21478

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    On the free boundary problem of three-dimensional incompressible Euler equations

    Communications on Pure and Applied Mathematics

    Volume 61, Issue 7, July 2008, Pages: 877–940, Ping Zhang and Zhifei Zhang

    Version of Record online : 1 NOV 2007, DOI: 10.1002/cpa.20226

  10. Oscillation criteria and asymptotic properties of solutions of third-order nonlinear neutral differential equations

    Mathematical Methods in the Applied Sciences

    Volume 38, Issue 7, 15 May 2015, Pages: 1379–1392, T. Candan

    Version of Record online : 23 APR 2014, DOI: 10.1002/mma.3153

  11. Solving a partial differential equation associated with the pricing of power options with time-dependent parameters

    Mathematical Methods in the Applied Sciences

    Volume 38, Issue 14, 30 September 2015, Pages: 2901–2910, M. O. Okelola, K. S. Govinder and J. G. O'Hara

    Version of Record online : 5 AUG 2014, DOI: 10.1002/mma.3249

  12. A mathematical framework for stochastic climate models

    Communications on Pure and Applied Mathematics

    Volume 54, Issue 8, August 2001, Pages: 891–974, Andrew J. Majda, Ilya Timofeyev and Eric Vanden Eijnden

    Version of Record online : 23 MAY 2001, DOI: 10.1002/cpa.1014

  13. The generation, propagation, and extinction of multiphases in the KdV zero-dispersion limit

    Communications on Pure and Applied Mathematics

    Volume 55, Issue 12, December 2002, Pages: 1569–1639, Tamara Grava and Fei-Ran Tian

    Version of Record online : 27 SEP 2002, DOI: 10.1002/cpa.10050

  14. Currency option pricing: Mean reversion and multi-scale stochastic volatility

    Journal of Futures Markets

    Volume 30, Issue 10, October 2010, Pages: 938–956, Hoi Ying Wong and Jing Zhao

    Version of Record online : 22 JAN 2010, DOI: 10.1002/fut.20452

  15. Linear matrix inequalities for analysis and control of linear vector second-order systems

    International Journal of Robust and Nonlinear Control

    Volume 25, Issue 16, 10 November 2015, Pages: 2939–2964, F. D. Adegas and J. Stoustrup

    Version of Record online : 6 OCT 2014, DOI: 10.1002/rnc.3242

  16. A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models

    Mathematical Finance

    Volume 8, Issue 2, April 1998, Pages: 153–161, René Garcia and Èric Renault

    Version of Record online : 5 JAN 2002, DOI: 10.1111/1467-9965.00049

  17. TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 527–569, Rafael Mendoza-Arriaga, Peter Carr and Vadim Linetsky

    Version of Record online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00411.x

  18. Stage-structured population systems with temporally periodic delay

    Mathematical Methods in the Applied Sciences

    Volume 38, Issue 16, 15 November 2015, Pages: 3464–3481, Xiaotian Wu, Felicia Maria G. Magpantay, Jianhong Wu and Xingfu Zou

    Version of Record online : 5 MAR 2015, DOI: 10.1002/mma.3424

  19. Hierarchical fusion robust Kalman filter for clustering sensor network time-varying systems with uncertain noise variances

    International Journal of Adaptive Control and Signal Processing

    Volume 29, Issue 1, January 2015, Pages: 99–122, Peng Zhang, Wenjuan Qi and Zili Deng

    Version of Record online : 26 DEC 2013, DOI: 10.1002/acs.2463

  20. A CLOSED-FORM EXACT SOLUTION FOR PRICING VARIANCE SWAPS WITH STOCHASTIC VOLATILITY

    Mathematical Finance

    Volume 21, Issue 2, April 2011, Pages: 233–256, Song-Ping Zhu and Guang-Hua Lian

    Version of Record online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00436.x