Pages that link to "Item:Q4939318"

The following pages link to The Variance Gamma Process and Option Pricing (Q4939318):

Displaying 50 items.

• Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching (Q1699079) (← links)
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
• Stable Lévy process delayed by tempered stable subordinator (Q1726801) (← links)
• A modified Black-Scholes pricing formula for European options with bounded underlying prices (Q1732426) (← links)
• A note on the hedging of options by Malliavin calculus in a jump-diffusion market (Q1734184) (← links)
• Regime-switching temperature dynamics model for weather derivatives (Q1736306) (← links)
• Quantile function expansion using regularly varying functions (Q1739326) (← links)
• Optimum thresholding using mean and conditional mean squared error (Q1739640) (← links)
• Likelihood-based risk estimation for variance-gamma models (Q1742843) (← links)
• Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549) (← links)
• Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
• On the relationship between the generalized Student \(t\)-distribution and the variance gamma distribution in statistical analysis of random-size samples (Q1761082) (← links)
• Operator geometric stable laws (Q1765616) (← links)
• Type \(G\) and spherical distributions on \(\mathbb R^d\) (Q1776346) (← links)
• Codifference as a practical tool to measure interdependence (Q1783336) (← links)
• A note on the never-early-exercise region of American power exchange options (Q1785486) (← links)
• On computing the price of financial instruments in foreign currency (Q1796242) (← links)
• Barrier options and touch-and-out options under regular Lévy processes of exponential type (Q1872362) (← links)
• Applications of the characteristic function-based continuum GMM in finance (Q1927140) (← links)
• A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
• Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes (Q1929374) (← links)
• An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
• Factor models for option pricing (Q1934585) (← links)
• Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes (Q1945501) (← links)
• A finite difference scheme for pricing American put options under Kou's jump-diffusion model (Q1951078) (← links)
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk (Q1955160) (← links)
• Extracting market information from equity options with exponential Lévy processes (Q1994305) (← links)
• Convertible bond pricing with partial integro-differential equation model (Q1997146) (← links)
• A bound on the Wasserstein-2 distance between linear combinations of independent random variables (Q2000150) (← links)
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
• Asset pricing theory for two price economies (Q2018556) (← links)
• Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
• Conformal accelerations method and efficient evaluation of stable distributions (Q2023071) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities (Q2027590) (← links)
• Bounds for an integral of the modified Bessel function of the first kind and expressions involving it (Q2033162) (← links)
• Lévy-Ito models in finance (Q2039766) (← links)
• The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
• Default and prepayment options pricing and default probability valuation under VG model (Q2050944) (← links)
• Option valuation under the VG process by a DG method. (Q2058996) (← links)
• Model risk in the over-the-counter market (Q2076856) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• The logarithmic Schrödinger operator and associated Dirichlet problems (Q2079588) (← links)
• Implied price processes anchored in statistical realizations (Q2085829) (← links)
• High dimensional Markovian trading of a single stock (Q2085831) (← links)
• On the exact distribution of the difference between two chi-square variables (Q2089395) (← links)
• Transient numerical approximation of hyperbolic diffusions and beyond (Q2104070) (← links)
• On lower partial moments for the investment portfolio with variance-gamma distributed returns (Q2113612) (← links)
• Optimal variance-Gamma approximation on the second Wiener chaos (Q2118418) (← links)