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The integrated square-root process · Study

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PreprintThe integrated square-root process

Daniel Dufresne2001

Preprint2001

The integrated square-root process

Daniel Dufresne

109 citations·0/0 files stored·Minerva Access (University of Melbourne)

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Stochastic processes and financial applications Probability and Statistical Research Financial Risk and Volatility Modeling

Abstract

ISBN 0734021348 research paper no. 90.

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2011Options on realized variance by transform methods: a non-affine stochastic volatility model 2010The large-maturity smile for the Heston model 2016Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models 2012Discretely sampled variance and volatility swaps versus their continuous approximations 2012Approximations for Asian options in local volatility models 2009Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility 2018Open-Loop Equilibrium Strategy for Mean-Variance Portfolio Problem Under Stochastic Volatility

Details

Year2001

Typepreprint

Published2001-11-01

VenueMinerva Access (University of Melbourne)

Languageen

Citations109

Files0 public / 0

ShelfStochastic processes and financial applications

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openalex_workW41971894

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