Pages that link to "Item:Q99433"

The following pages link to A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (Q99433):

Displaying 37 items.

• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) (← links)
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094) (← links)
• Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework (Q6159074) (← links)
• Nonparametric estimation of some dividend problems in the perturbed compound Poisson model (Q6163061) (← links)
• Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (Q6164526) (← links)
• Hedging at-the-money digital options near maturity (Q6164847) (← links)
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees (Q6169661) (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)
• Can a Machine Correct Option Pricing Models? (Q6190709) (← links)
• Rough Heston Models with Variable Vol-of-Vol and Option Pricing (Q6191801) (← links)
• Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model (Q6498604) (← links)
• Option pricing under double stochastic volatility model with stochastic interest rates and double exponential jumps with stochastic intensity (Q6534650) (← links)
• Exploring non-Analytical affine jump-diffusion models for path-dependent interest rate derivatives (Q6538812) (← links)
• CBI-time-changed Lévy processes for multi-currency modeling (Q6549592) (← links)
• Commodity Asian option pricing and simulation in a 4-factor model with jump clusters (Q6549599) (← links)
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)
• A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options (Q6556120) (← links)
• Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (Q6556204) (← links)
• A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate (Q6556883) (← links)
• Total value adjustment of Bermudan option valuation under pure jump Lévy fluctuations (Q6561203) (← links)
• Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity (Q6564802) (← links)
• Exact simulation of the Hull and White stochastic volatility model (Q6572645) (← links)
• Option pricing under jump diffusion model (Q6580270) (← links)
• Short time behavior of the ATM implied skew in the ADO-Heston model (Q6581627) (← links)
• Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk (Q6591005) (← links)
• A generalized integral equation formulation for pricing American options under regime-switching model (Q6591516) (← links)
• The Heston-Queue-Hawkes process: a new self-exciting jump-diffusion model for options pricing, and an extension of the COS method for discrete distributions (Q6593327) (← links)
• The valuation of American options with the stochastic liquidity risk and jump risk (Q6608229) (← links)
• Hawkes processes in energy markets: modelling, estimation and derivatives pricing (Q6610445) (← links)
• Second order finite volume IMEX Runge-Kutta schemes for two dimensional parabolic PDEs in finance (Q6613548) (← links)
• A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models (Q6619591) (← links)
• A Stochastic Volatility Model With Realized Measures for Option Pricing (Q6626361) (← links)
• The rough Hawkes Heston stochastic volatility model (Q6641084) (← links)
• The bilateral Gamma motion: calibration and option pricing (Q6643155) (← links)
• Consistent asset modelling with random coefficients and switches between regimes (Q6659310) (← links)
• Estimating option pricing models using a characteristic function-based linear state space representation (Q6664638) (← links)