A comparison of biased simulation schemes for stochastic volatility models
10.1080/14697680802392496 · doi-reference
Note on the inversion theorem
10.1093/biomet/38.3-4.481 · doi-reference
Valuing Vulnerable Geometric Asian Basket Options Under Stochastic Volatility Jump Diffusion Model
10.1007/s10614-025-10954-9 · doi-reference
Pricing geometric Asian options with liquidity risk under a regime-switching mixed fractional Brownian motion with jumps model
10.1016/j.matcom.2026.05.020 · doi-reference
Analytic approximations for European-style Asian spread options
10.3934/math.2024573 · doi-reference
10.3390/math13152515
10.3390/math13152515 · doi-reference
Analytically Pricing Vulnerable Options under the Stochastic Volatility Model with Stochastic Long-Term Mean and Stochastic Liquidity
10.1016/j.cnsns.2026.110130 · doi-reference
A Closed-Form Pricing Formula for European Options under a New Stochastic Volatility Model with a Stochastic Long-Term Mean
10.1007/s11579-020-00281-y · doi-reference
10.3390/math14152673
10.3390/math14152673 · doi-reference
10.3390/math14091545
10.3390/math14091545 · doi-reference
Pricing Geometric Asian Extremum Options under Mixed Fractional Brownian Motion with Jumps
10.1007/s13160-025-00723-4 · doi-reference
A GARCH-temporal fusion transformer model for the volatility prediction of exchange traded funds
10.1007/s00521-025-11468-z · doi-reference
Forecasting the Volatility of CSI 300 Index with a Hybrid Model of LSTM and Multiple GARCH Models
10.1007/s10614-024-10785-0 · doi-reference
A hybrid prediction model integrating GARCH models with a distribution manipulation strategy based on LSTM networks for stock market volatility
10.1109/access.2022.3163723 · doi-reference
Valuation of Asian Options with Default Risk under GARCH Models
10.1016/j.iref.2020.06.019 · doi-reference
Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate
10.1155/2019/4316272 · doi-reference
The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
10.1287/mnsc.1090.1065 · doi-reference
Pricing of Geometric Asian Options under Heston’s Stochastic Volatility Model
10.1080/14697688.2011.596844 · doi-reference
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
10.1093/rfs/6.2.327 · doi-reference
A Pricing Method for Options Based on Average Asset Values
10.1016/0378-4266(90)90039-5 · doi-reference
