Pages that link to "Item:Q136006"

The following pages link to A Jump-Diffusion Model for Option Pricing (Q136006):

Displaying 50 items.

• Barycentric spectral domain decomposition methods for valuing a class of infinite activity Lévy models (Q2319611) (← links)
• An alternative form to calibrate the correlated Stein-Stein option pricing model (Q2322457) (← links)
• Efficient and flexible model-based clustering of jumps in diffusion processes (Q2325322) (← links)
• Valuation of an option using non-parametric methods (Q2328782) (← links)
• Comparison of jump-diffusion parameters using passage times estimation (Q2336891) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Testing for pure-jump processes for high-frequency data (Q2343966) (← links)
• Valuing equity-linked death benefits with a threshold expense strategy (Q2347060) (← links)
• A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464) (← links)
• Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model (Q2356875) (← links)
• The dependence of assets and default threshold with thinning-dependence structure (Q2358872) (← links)
• Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (Q2359987) (← links)
• Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns (Q2359999) (← links)
• A multi-level dimension reduction Monte-Carlo method for jump-diffusion models (Q2360709) (← links)
• Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076) (← links)
• Valuing credit derivatives in a jump-diffusion model (Q2383797) (← links)
• Jump-diffusion models with constant parameters for financial log-return processes (Q2389758) (← links)
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
• Financial options pricing with regime-switching jump-diffusions (Q2398904) (← links)
• Pricing pension plans under jump-diffusion models for the salary (Q2400705) (← links)
• Symmetric Gaussian mixture distributions with GGC scales (Q2401362) (← links)
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726) (← links)
• Jump filtering and efficient drift estimation for Lévy-driven SDEs (Q2413596) (← links)
• A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans (Q2415977) (← links)
• A general closed form option pricing formula (Q2418424) (← links)
• Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
• Lévy risk model with two-sided jumps and a barrier dividend strategy (Q2427836) (← links)
• Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach (Q2445353) (← links)
• Optimally thresholded realized power variations for Lévy jump diffusion models (Q2447648) (← links)
• Static versus dynamic hedges: an empirical comparison for barrier options (Q2466425) (← links)
• Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison (Q2466454) (← links)
• Exit problems in regime-switching models (Q2469551) (← links)
• MaxVaR with non-Gaussian distributed returns (Q2477676) (← links)
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas (Q2499076) (← links)
• Linear complexity solution of parabolic integro-differential equations (Q2502236) (← links)
• Analytical binomial lookback options with double-exponential jumps (Q2510894) (← links)
• Testing for diffusion in a discretely observed semimartingale (Q2511575) (← links)
• Pricing currency derivatives with Markov-modulated Lévy dynamics (Q2513442) (← links)
• Static hedging under maturity mismatch (Q2516768) (← links)
• Simulation of jump diffusions and the pricing of options (Q2518535) (← 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)
• On the Laplace transforms of the first exit times in one-dimensional non-affine jump-diffusion models (Q2520532) (← links)
• Understanding the implied volatility surface for options on a diversified index (Q2575436) (← links)
• Option pricing with Legendre polynomials (Q2628349) (← links)
• Option pricing under the jump diffusion and multifactor stochastic processes (Q2631912) (← links)
• Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models (Q2657004) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting (Q2661050) (← links)