Pages that link to "Item:Q136006"

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

Displaying 50 items.

• A universal difference method for time-space fractional Black-Scholes equation (Q1796725) (← links)
• An approximation of American option prices in a jump-diffusion model (Q1915843) (← links)
• An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
• First passage times of reflected Ornstein-Uhlenbeck processes with two-sided jumps (Q1934375) (← links)
• Decomposition of default probability under a structural credit risk model with jumps (Q1936262) (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
• Hedging for the long run (Q1938979) (← links)
• Computing the survival probability density function in jump-diffusion models: a new approach based on radial basis functions (Q1944574) (← 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)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment (Q1992912) (← links)
• Valuation of stock loans with jump risk (Q1994400) (← links)
• A dynamic autoregressive expectile for time-invariant portfolio protection strategies (Q1994618) (← links)
• A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
• Strong convergence of compensated split-step theta methods for SDEs with jumps under monotone condition (Q2007649) (← links)
• Robust test for dispersion parameter change in discretely observed diffusion processes (Q2008123) (← links)
• The waterline tree for separable local-volatility models (Q2013448) (← links)
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
• Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065) (← links)
• Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
• Pricing power exchange options with Hawkes jump diffusion processes (Q2031319) (← links)
• Joint estimation for volatility and drift parameters of ergodic jump diffusion processes via contrast function (Q2040941) (← links)
• Bayesian estimation of the stochastic volatility model with double exponential jumps (Q2047037) (← links)
• The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
• A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method (Q2053265) (← links)
• Adaptation to climate change: extreme events versus gradual changes (Q2054843) (← links)
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) (← links)
• Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
• Option pricing under the subordinated market models (Q2073586) (← links)
• Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes (Q2074283) (← links)
• Assessing the impact of jumps in an option pricing model: a gradient estimation approach (Q2076852) (← links)
• Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← links)
• Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications (Q2098012) (← links)
• Computable error bounds of multidimensional Euler inversion and their financial applications (Q2102846) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Investment timing and capacity choice in duopolistic competition under a jump-diffusion model (Q2120595) (← links)
• Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations (Q2127812) (← links)
• Pricing of financial derivatives based on the Tsallis statistical theory (Q2128263) (← links)
• Recovering the time-dependent volatility in jump-diffusion models from nonlocal price observations (Q2128477) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• Pricing equity warrants in Merton jump-diffusion model with credit risk (Q2141463) (← links)
• Estimation and prediction under local volatility jump-diffusion model (Q2148668) (← links)
• Optimal feedback control of stock prices under credit risk dynamics (Q2151675) (← links)
• Statistical arbitrage in jump-diffusion models with compound Poisson processes (Q2151680) (← links)