Pages that link to "Item:Q849055"

The following pages link to Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055):

Displaying 50 items.

• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• Uncertainty quantification and Heston model (Q2311188) (← links)
• A numerical method for pricing discrete double barrier option by Legendre multiwavelet (Q2406310) (← links)
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
• Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361) (← links)
• Fourier-cosine method for ruin probabilities (Q2515094) (← links)
• A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) (← links)
• Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market (Q2666233) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• Fractional factorial designs for Fourier-cosine models (Q2696333) (← links)
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• GPU acceleration of the stochastic grid bundling method for early-exercise options (Q2804499) (← links)
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507) (← links)
• Chi-square simulation of the CIR process and the Heston model (Q2841330) (← links)
• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (Q2842534) (← links)
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
• On the analytical/numerical pricing of American put options against binomial tree prices (Q2893069) (← links)
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
• The COS Method for Pricing Options Under Uncertain Volatility (Q2920954) (← links)
• On the Fourier cosine series expansion method for stochastic control problems (Q2931526) (← links)
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
• Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions (Q3007038) (← links)
• Efficient option pricing methods based on Fourier series expansions (Q3109238) (← links)
• Valuation of American options under the CGMY model (Q4554225) (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
• Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
• APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (Q4563791) (← links)
• COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499) (← links)
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
• Modern Monte Carlo Methods and GPU Computing (Q4626521) (← links)
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method (Q4628394) (← links)
• Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates (Q4682998) (← links)
• A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model (Q4691176) (← links)
• EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• Fast exponential time integration scheme for option pricing with jumps (Q4909730) (← links)
• Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model (Q4976503) (← links)
• Speed-up credit exposure calculations for pricing and risk management (Q4991089) (← links)
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380) (← links)
• Modelling electricity prices: a time change approach (Q5001192) (← links)
• CCF approach for asymptotic option pricing under the CEV diffusion (Q5030626) (← links)
• LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS (Q5051184) (← links)
• On a Neural Network to Extract Implied Information from American Options (Q5103918) (← links)
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)