Pages that link to "Item:Q136006"
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The following pages link to A Jump-Diffusion Model for Option Pricing (Q136006):
Displaying 50 items.
- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients (Q2157559) (← links)
- Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804) (← links)
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory (Q2171344) (← links)
- Modeling pandemic mortality risk and its application to mortality-linked security pricing (Q2172056) (← links)
- On the probability of default in a market with price clustering and jump risk (Q2175460) (← links)
- Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (Q2176382) (← links)
- First crossing times of telegraph processes with jumps (Q2176400) (← links)
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
- Option pricing based on modified advection-dispersion equation: stochastic representation and applications (Q2183263) (← 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)
- Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (Q2196535) (← links)
- An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
- On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (Q2204419) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
- Hierarchical matrix approximations for space-fractional diffusion equations (Q2236145) (← links)
- An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level (Q2244233) (← links)
- Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors (Q2246476) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
- A European option pricing model in a stochastic and fuzzy environment (Q2248260) (← links)
- IMEX schemes for pricing options under jump-diffusion models (Q2250990) (← links)
- Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework (Q2252399) (← links)
- Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (Q2252400) (← links)
- Estimation of the characteristics of a Lévy process (Q2270272) (← links)
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
- Estimating value-at-risk and expected shortfall using the intraday low and range data (Q2272312) (← links)
- Estimating functions for jump-diffusions (Q2274300) (← links)
- On the threshold dividend strategy for a generalized jump-diffusion risk model (Q2276238) (← links)
- DG method for pricing European options under Merton jump-diffusion model. (Q2280454) (← links)
- Simulated likelihood estimators for discretely observed jump-diffusions (Q2280574) (← links)
- VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
- Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option (Q2290998) (← links)
- A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process (Q2293569) (← links)
- Valuation of swing options under a regime-switching mean-reverting model (Q2298579) (← links)
- Bootstrap confidence bands for spectral estimation of Lévy densities under high-frequency observations (Q2301475) (← links)
- Pricing compound and extendible options under mixed fractional Brownian motion with jumps (Q2306304) (← links)
- Pricing VIX options with stochastic skew and asymmetric jumps (Q2307815) (← links)
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model (Q2315816) (← links)
- Classes of elementary function solutions to the CEV model I (Q2315817) (← links)
- Realized Laplace transforms for pure jump semimartingales with presence of microstructure noise (Q2318293) (← links)
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility (Q2319098) (← links)
