Pages that link to "Item:Q4939318"

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

Displaying 50 items.

• Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
• Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process (Q2141159) (← links)
• Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination (Q2144199) (← links)
• Quasi-Monte Carlo simulation for American option sensitivities (Q2146323) (← links)
• Pricing foreign equity option under stochastic volatility tempered stable Lévy processes (Q2147863) (← links)
• Linnik Lévy process and some extensions (Q2162078) (← links)
• Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
• Calibration for weak variance-alpha-gamma processes (Q2176361) (← links)
• Early exercise boundaries for American-style knock-out options (Q2183887) (← links)
• An analysis of dollar cost averaging and market timing investment strategies (Q2189909) (← links)
• A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
• Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation (Q2208163) (← links)
• On bounds for the mode and median of the generalized hyperbolic and related distributions (Q2208273) (← links)
• ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density (Q2218841) (← links)
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
• Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
• Additive logistic processes in option pricing (Q2238772) (← links)
• Correlated squared returns (Q2241899) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Infinitely divisible multivariate and matrix gamma distributions (Q2252892) (← links)
• Equilibrium approach of asset pricing under Lévy process (Q2253386) (← links)
• Application of homotopy analysis method to option pricing under Lévy processes (Q2254307) (← links)
• Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
• A family of density expansions for Lévy-type processes (Q2258531) (← links)
• Intensity process for a pure jump Lévy structural model with incomplete information (Q2258826) (← links)
• Analytical pricing of vulnerable options under a generalized jump-diffusion model (Q2260941) (← links)
• American and European options in multi-factor jump-diffusion models, near expiry (Q2271720) (← links)
• Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions (Q2272330) (← links)
• Fractional normal inverse Gaussian process (Q2276422) (← links)
• Calculating the index of volatility in inhomogeneous Levy models (Q2287149) (← links)
• Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
• Optimal importance sampling for Lévy processes (Q2289777) (← links)
• On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method (Q2292051) (← links)
• Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569) (← links)
• Measure distorted arrival rate risks and their rewards (Q2296098) (← links)
• Zero covariation returns (Q2296115) (← links)
• Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I (Q2297333) (← links)
• An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
• Clustering of financial instruments using jump tail dependence coefficient (Q2324271) (← links)
• On detecting changes in the jumps of arbitrary size of a time-continuous stochastic process (Q2326069) (← links)
• Option pricing in time-changed Lévy models with compound Poisson jumps (Q2326531) (← links)
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)
• A comparison of generalized hyperbolic distribution models for equity returns (Q2336270) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing (Q2359719) (← links)
• Lévy processes driven by stochastic volatility (Q2372257) (← links)
• Finite approximation schemes for Lévy processes, and their application to optimal stopping problems (Q2381968) (← links)