Pages that link to "Item:Q5452379"

The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):

Displaying 50 items.

• A volatility smile-based uncertainty index (Q2045101) (← 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)
• Regularity of free boundaries in obstacle problems for integro-differential operators (Q2053928) (← links)
• Pricing vulnerable options with jump risk and liquidity risk (Q2059298) (← links)
• Pricing vulnerable options in a mixed fractional Brownian motion with jumps (Q2063466) (← links)
• Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← links)
• Pricing options under simultaneous stochastic volatility and jumps: a simple closed-form formula without numerical/computational methods (Q2067122) (← links)
• Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes (Q2074283) (← links)
• Using Householder's method to improve the accuracy of the closed-form formulas for implied volatility (Q2074845) (← links)
• Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
• The thin obstacle problem: a survey (Q2075298) (← links)
• The valid regions of Gram-Charlier densities with high-order cumulants (Q2075942) (← links)
• An inter-temporal CAPM based on first order stochastic dominance (Q2076851) (← links)
• Assessing the impact of jumps in an option pricing model: a gradient estimation approach (Q2076852) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Escape probabilities from an interval for compound Poisson processes with drift (Q2087071) (← links)
• A second order numerical method for the time-fractional Black-Scholes European option pricing model (Q2088801) (← links)
• Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: a Gram-Charlier density approach (Q2096151) (← links)
• Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer (Q2097469) (← links)
• Pricing path-dependent options under the Hawkes jump diffusion process (Q2097472) (← links)
• Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications (Q2098012) (← links)
• Asian rainbow option pricing formulas of uncertain stock model (Q2100224) (← links)
• A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models (Q2103424) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
• Investment timing and capacity choice in duopolistic competition under a jump-diffusion model (Q2120595) (← links)
• A class of fourth-order Padé schemes for fractional exotic options pricing model (Q2127533) (← links)
• Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type (Q2128243) (← 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)
• Empirical likelihood method for longitudinal data generated from unequally-spaced Lèvy processes (Q2131950) (← links)
• The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• Pricing the American options: a closed-form, simple formula (Q2140741) (← links)
• Pricing equity warrants in Merton jump-diffusion model with credit risk (Q2141463) (← links)
• A combined compact difference scheme for option pricing in the exponential jump-diffusion models (Q2142005) (← links)
• Jumping hedges on the strength of the Mellin transform (Q2143532) (← links)
• Beating the market? A mathematical puzzle for market efficiency (Q2145700) (← links)
• Pricing vulnerable options with stochastic volatility (Q2147889) (← links)
• Estimation and prediction under local volatility jump-diffusion model (Q2148668) (← links)
• Valuing options in shot noise market (Q2149143) (← links)
• Estimating option Greeks under the stochastic volatility using simulation (Q2149316) (← links)
• Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market (Q2149338) (← links)
• An accurate European option pricing model under fractional stable process based on Feynman path integral (Q2150099) (← 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)
• Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (Q2157559) (← links)