Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2549033 ◽

2015 ◽

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

At Risk ◽

Probability Density Function ◽

Analytical Solution ◽

Option Pricing ◽

Probability Density ◽

Density Function ◽

Value At Risk ◽

Heston Model ◽

Function Approach

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Complete Analytical Solution of the SABR Model for Fixed-Income Option Pricing And Value-at-Risk Problems - A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2732306 ◽

2016 ◽

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

At Risk ◽

Probability Density Function ◽

Analytical Solution ◽

Option Pricing ◽

Probability Density ◽

Density Function ◽

Value At Risk ◽

Function Approach ◽

Fixed Income ◽

Sabr Model

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Complete Analytical Solution of the Asian Option Pricing and Asian Option Value-at-Risk Problems: A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2546430 ◽

2014 ◽

Cited By ~ 1

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

At Risk ◽

Probability Density Function ◽

Analytical Solution ◽

Option Pricing ◽

Probability Density ◽

Density Function ◽

Value At Risk ◽

Function Approach ◽

Asian Option ◽

Option Value

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A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2609143 ◽

2015 ◽

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

Probability Density Function ◽

Analytical Solution ◽

Option Pricing ◽

Probability Density ◽

Density Function ◽

Stochastic Volatility ◽

Heston Model ◽

Function Approach ◽

Asian Option

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Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities: A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2554038 ◽

2013 ◽

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

Probability Density Function ◽

Analytical Solution ◽

Option Pricing ◽

Probability Density ◽

Density Function ◽

Function Approach ◽

Stochastic Volatilities ◽

American Style

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A Complete Analytical Resolution of the Double Barrier Optionss Pricing within the Heston Model. A Probability Density Function Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2605948 ◽

2015 ◽

Author(s):

Alexander F. Izmailov ◽

Brian Shay

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function ◽

Heston Model ◽

Function Approach ◽

Double Barrier ◽

Analytical Resolution

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Probability density function approach for a turbulent axisymmetric heated jet. Centerline evolution

The Physics of Fluids ◽

10.1063/1.861163 ◽

1975 ◽

Vol 18 (4) ◽

pp. 397 ◽

Cited By ~ 139

Author(s):

Cesar Dopazo

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function ◽

Function Approach ◽

Heated Jet

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Evaluation of combustion models based on tabulated chemistry and presumed probability density function approach for diesel spray simulation

International Journal of Computer Mathematics ◽

10.1080/00207160.2013.770844 ◽

2013 ◽

Vol 91 (1) ◽

pp. 14-23 ◽

Cited By ~ 2

Author(s):

J. M. García-Oliver ◽

R. Novella ◽

J. M. Pastor ◽

J. F. Winklinger

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function ◽

Function Approach ◽

Diesel Spray ◽

Combustion Models ◽

Tabulated Chemistry

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Full velocity-scalar probability density function computation of heated channel flow with wall function approach

Physics of Fluids ◽

10.1063/1.1564827 ◽

2003 ◽

Vol 15 (5) ◽

pp. 1220-1232 ◽

Cited By ~ 9

Author(s):

Jacek Pozorski ◽

Marta Wacławczyk ◽

Jean-Pierre Minier

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function ◽

Channel Flow ◽

Function Approach ◽

Wall Function ◽

Function Computation ◽

Heated Channel

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An analytical solution for the scalar probability density function in homogeneous turbulence

Physics of Fluids A Fluid Dynamics ◽

10.1063/1.858112 ◽

1991 ◽

Vol 3 (4) ◽

pp. 511-513 ◽

Cited By ~ 43

Author(s):

Feng Gao

Keyword(s):

Probability Density Function ◽

Analytical Solution ◽

Probability Density ◽

Density Function ◽

Homogeneous Turbulence

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Multi-environment probability density function approach for turbulent CH4/H2 flames under the MILD combustion condition

Combustion and Flame ◽

10.1016/j.combustflame.2014.11.014 ◽

2015 ◽

Vol 162 (4) ◽

pp. 1464-1476 ◽

Cited By ~ 26

Author(s):

Jeongwon Lee ◽

Sangtae Jeon ◽

Yongmo Kim

Keyword(s):

Probability Density Function ◽

Probability Density ◽

Density Function ◽

Function Approach ◽

Combustion Condition ◽

Mild Combustion

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