SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

An efficient control variate method for pricing variance derivatives · Study

ArticleShelves

ArticleAn efficient control variate method for pricing variance derivatives

Junmei Ma2010

OA

Articlebronze2010

An efficient control variate method for pricing variance derivatives

Junmei Ma · Chenglong Xu

18 citations·0/0 files stored·Journal of Computational and Applied Mathematics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 18 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2016“Options, Futures, and Other Derivatives”1987The Pricing of Options on Assets with Stochastic Volatilities 2003Monte Carlo Methods in Financial Engineering 2003Options, Futures and Other Derivatives 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application 1990A pricing method for options based on average asset values

Cited by

2024Sub mixed fractional Brownian motion and its application to finance

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 8 shared references 2007An empirical comparison of continuous-time models of implied volatility indicesarticle · 7 shared references 2012STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONSarticle · 7 shared references 2004Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatilitiesarticle · 7 shared references 2008On the Valuation of Variance Swaps with Stochastic Volatilityarticle · 7 shared references 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivativesbook · 6 shared references

Details

Year2010

Typearticle

Published2010-05-22

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.cam.2010.05.017

openalex_workW2111582907

Links

Imported from OpenAlex (CC0) — nothing here is generated.