Pages that link to "Item:Q5452379"

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

Displaying 50 items.

• The connection between multiple prices of an option at a given time with single prices defined at different times: the concept of weak-value in quantum finance (Q2160107) (← links)
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation (Q2163140) (← links)
• Efficient hedging currency options in fractional Brownian motion model with jumps (Q2164804) (← links)
• Efficient, linear and fast numerical algorithm for the volume conserved nonlocal Allen-Cahn equation (Q2165862) (← 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)
• A theoretical foundation of ambiguity measurement (Q2173084) (← links)
• Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
• Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries (Q2176382) (← links)
• Downside risk measurement in regime switching stochastic volatility (Q2178387) (← links)
• European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme (Q2180342) (← links)
• The contribution of intraday jumps to forecasting the density of returns (Q2181523) (← links)
• Design of green bonds by double-barrier options (Q2182829) (← links)
• Game-theoretic optimal portfolios for jump diffusions (Q2183976) (← links)
• An analysis of dollar cost averaging and market timing investment strategies (Q2189909) (← links)
• A weighted finite difference method for subdiffusive Black-Scholes model (Q2194785) (← links)
• Option pricing in illiquid markets: a fractional jump-diffusion approach (Q2195887) (← links)
• Unbiased truncated quadratic variation for volatility estimation in jump diffusion processes (Q2196535) (← links)
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← 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)
• 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)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• Levelling the playing field: a VIX-linked structure for funded pension schemes (Q2212140) (← links)
• Two frameworks for pricing defaultable derivatives (Q2213633) (← links)
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model (Q2221460) (← links)
• Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
• High-frequency jump tests: which test should we use? (Q2224890) (← links)
• On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models (Q2227316) (← links)
• Computation of Greeks in jump-diffusion models using discrete Malliavin calculus (Q2229106) (← links)
• Wavelet-Galerkin method for second-order integro-differential equations on product domains (Q2232049) (← links)
• Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
• From tick data to semimartingales (Q2240473) (← links)
• An analysis of asymptotic properties and error control under the exponential jump-diffusion model for American option pricing (Q2241258) (← links)
• Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
• Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors (Q2246476) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
• Viscosity solutions of integro-differential equations and passport options in a jump-diffusion model (Q2247919) (← links)
• A robust spectral method for solving Heston's model (Q2247922) (← 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)
• Equilibrium approach of asset pricing under Lévy process (Q2253386) (← links)
• The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions (Q2271413) (← links)
• Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
• Arbitrage-free market models for option prices: the multi-strike case (Q2271718) (← links)