Pages that link to "Item:Q4372019"

The following pages link to BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (Q4372019):

Displaying 50 items.

• A numerical study of Asian option with radial basis functions based finite differences method (Q1653560) (← links)
• Pricing Asian options via compound gamma and orthogonal polynomials (Q1659626) (← links)
• First passage time of a Markov chain that converges to Bessel process (Q1667565) (← links)
• Modified B-spline collocation approach for pricing American style Asian options (Q1674181) (← links)
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model (Q1713775) (← links)
• The pricing of Asian options in uncertain volatility model (Q1719127) (← links)
• Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval (Q1757249) (← links)
• Contingent claims on assets with conversion costs. (Q1873082) (← links)
• Asymptotic results for heavy-tailed Lévy processes and their exponential functionals (Q1983635) (← links)
• Asian and Australian options: a common perspective (Q1994236) (← links)
• Another look at the Hartman-Watson distributions (Q2006374) (← links)
• Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching (Q2006416) (← links)
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
• Valuing vulnerable geometric Asian options (Q2006638) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
• Proactive hedging European option pricing with a general logarithmic position strategy (Q2073577) (← links)
• Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
• A robust numerical technique and its analysis for computing the price of an Asian option (Q2161069) (← links)
• Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• A fourth order numerical method based on B-spline functions for pricing Asian options (Q2197862) (← links)
• An efficient numerical method based on redefined cubic B-spline basis functions for pricing Asian options (Q2231294) (← links)
• On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
• One-dimensional disordered quantum mechanics and Sinai diffusion with random absorbers (Q2251630) (← links)
• Asian options and meromorphic Lévy processes (Q2255010) (← links)
• Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options (Q2274018) (← links)
• Geometric Asian options pricing under the double Heston stochastic volatility model with stochastic interest rate (Q2325143) (← links)
• Accurate pricing formulas for Asian options (Q2372053) (← links)
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition (Q2415424) (← links)
• Weak approximation of averaged diffusion processes (Q2434489) (← links)
• Analytical calculation of risk measures for variable annuity guaranteed benefits (Q2447419) (← links)
• Pricing average options under time-changed Lévy processes (Q2447509) (← links)
• Finite difference scheme with a moving mesh for pricing Asian options (Q2453245) (← links)
• Fourier transformation and the pricing of average-rate derivatives (Q2466427) (← links)
• Efficient solutions for discrete Asian options (Q2466717) (← links)
• Bounds for in-progress floating-strike Asian options using symmetry (Q2480218) (← links)
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes (Q2485819) (← links)
• Discrete sums of geometric Brownian motions, annuities and Asian options (Q2520429) (← links)
• Asymmetric skew Bessel processes and their applications to finance (Q2571223) (← links)
• An efficient convergent lattice algorithm for European Asian options (Q2571992) (← links)
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (Q2657004) (← links)
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
• Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• Two stock options at the races: Black–Scholes forecasts (Q2873553) (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
• Black-Scholes representation for Asian options (Q2875730) (← links)
• Essentially exact asymptotic solutions for Asian derivatives (Q2888863) (← links)