Pages that link to "Item:Q136006"

The following pages link to A Jump-Diffusion Model for Option Pricing (Q136006):

Displaying 50 items.

• Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
• Correlated continuous time random walk and option pricing (Q1619172) (← links)
• Pricing turbo warrants under mixed-exponential jump diffusion model (Q1619424) (← links)
• Pricing equity warrants with a promised lowest price in Merton's jump-diffusion model (Q1619668) (← links)
• On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
• American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
• Volatility smile as relativistic effect (Q1620616) (← 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)
• 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)
• Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process (Q1636928) (← 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)
• American options under periodic exercise opportunities (Q1650302) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• Calibration of stochastic volatility models: a Tikhonov regularization approach (Q1656762) (← links)
• Moment matching machine learning methods for risk management of large variable annuity portfolios (Q1657175) (← links)
• Model complexity and out-of-sample performance: evidence from S\&P 500 index returns (Q1657302) (← links)
• Costly arbitrage through pairs trading (Q1657539) (← links)
• Option pricing under jump-diffusion models with mean-reverting bivariate jumps (Q1667167) (← links)
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model (Q1671736) (← links)
• Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013) (← links)
• Optimal investment in markets with over and under-reaction to information (Q1679555) (← links)
• Optimal exercise boundary via intermediate function with jump risk (Q1684772) (← links)
• Valuation and hedging strategy of currency options under regime-switching jump-diffusion model (Q1690559) (← links)
• Hybrid Laplace transform and finite difference methods for pricing American options under complex models (Q1704172) (← links)
• Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057) (← links)
• Exponential mean-square stability of the improved split-step theta methods for non-autonomous stochastic differential equations (Q1708061) (← links)
• Exponential functionals of Lévy processes and variable annuity guaranteed benefits (Q1713470) (← links)
• Algorithms of finite difference for pricing American options under fractional diffusion models (Q1718197) (← links)
• Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
• The first passage time problem for mixed-exponential jump processes with applications in insurance and finance (Q1724420) (← links)
• Pricing vulnerable European options under Lévy process with stochastic volatility (Q1727064) (← links)
• Pricing vulnerable options with market prices of common jump risks under regime-switching models (Q1727291) (← links)
• An approximation scheme for impulse control with random reaction periods (Q1728360) (← links)
• Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
• A modified Black-Scholes pricing formula for European options with bounded underlying prices (Q1732426) (← links)
• Opaque bank assets and optimal equity capital (Q1734564) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• The risk premium that never was: a fair value explanation of the volatility spread (Q1754048) (← links)
• Direct data-based decision making under uncertainty (Q1754229) (← links)
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
• Tangent Lévy market models (Q1761433) (← links)
• Numerical valuation of options with jumps in the underlying (Q1775609) (← links)
• A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
• Weak time-derivatives and no-arbitrage pricing (Q1788828) (← links)
• Options pricing with time changed Lévy processes under imprecise information (Q1794512) (← links)