Pages that link to "Item:Q5452379"
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The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):
Displaying 50 items.
- Stock exchange dynamics involving both Gaussian and Poissonian white noises: Approximate solution via a symbolic stochastic calculus. (Q1413351) (← links)
- Option pricing and perfect hedging on correlated stocks (Q1414496) (← links)
- Optimal procurement strategies for online spot markets. (Q1416608) (← links)
- A fractional version of the Merton model. (Q1419131) (← links)
- Unifying discrete structural models and reduced-form models in credit risk using a jump-diffusion process. (Q1423367) (← links)
- Stability for multidimensional jump-diffusion processes (Q1593618) (← links)
- Option pricing for stable and infinitely divisible asset returns (Q1596868) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- Modeling and implementation of local volatility surfaces in Bayesian framework (Q1616807) (← links)
- Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
- Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model (Q1619668) (← links)
- European option pricing under the Student's \(t\) noise with jumps (Q1620416) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- A bias in the volatility smile (Q1621642) (← links)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- Computation of Greeks using binomial trees in a jump-diffusion model (Q1623987) (← links)
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk (Q1627633) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540) (← links)
- Computation of market risk measures with stochastic liquidity horizon (Q1639562) (← links)
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps (Q1640054) (← links)
- Valuing catastrophe bonds involving correlation and CIR interest rate model (Q1655383) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (Q1656373) (← links)
- Stabilized linear semi-implicit schemes for the nonlocal Cahn-Hilliard equation (Q1656608) (← links)
- Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
- Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
- Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167) (← links)
- The pricing kernel puzzle: survey and outlook (Q1669867) (← links)
- Dynamic asset allocation with event risk, transaction costs and predictable returns (Q1670395) (← links)
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
- Connectivity, information jumps, and market stability: an agent-based approach (Q1674796) (← links)
- Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
- Fast quadrature methods for options with discrete dividends (Q1675932) (← links)
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
- Mixed-scale jump regressions with bootstrap inference (Q1676389) (← links)
- Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
- Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options (Q1681008) (← links)
- Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process (Q1681092) (← links)
- Optimal exercise boundary via intermediate function with jump risk (Q1684772) (← links)
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model (Q1690497) (← links)
- Convergence and stability of implicit compensated Euler method for stochastic differential equations with Poisson random measure (Q1690897) (← links)
- Pension risk management with funding and buyout options (Q1697235) (← links)
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach (Q1697245) (← links)
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) (← links)
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models (Q1704172) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- Testing for self-excitation in jumps (Q1706487) (← links)
