Pages that link to "Item:Q5452379"
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The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):
Displaying 50 items.
- Strong convergence of Monte Carlo simulations of the mean-reverting square root process with jump (Q2379076) (← links)
- Valuation of catastrophe reinsurance with catastrophe bonds (Q2384452) (← links)
- Testing for common arrivals of jumps for discretely observed multidimensional processes (Q2388981) (← links)
- On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps (Q2389225) (← links)
- An approximate formula for the first-crossing-time density of a Wiener process perturbed by random jumps (Q2389329) (← links)
- Jump-diffusion models with constant parameters for financial log-return processes (Q2389758) (← links)
- Stable local volatility function calibration using spline kernel (Q2393653) (← links)
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching (Q2393667) (← links)
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
- Staged venture capital investment considering unexpected major events (Q2398792) (← links)
- Pricing pension plans under jump-diffusion models for the salary (Q2400705) (← links)
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation (Q2403726) (← links)
- Fractional stochastic differential equations with Hilfer fractional derivative: Poisson jumps and optimal control (Q2403886) (← links)
- A simple method for generalized sequential compound options pricing (Q2406942) (← links)
- Numerical simulation of a finite moment log stable model for a European call option (Q2407863) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- A numerical scheme for pricing American options with transaction costs under a jump diffusion process (Q2411163) (← links)
- Jump filtering and efficient drift estimation for Lévy-driven SDEs (Q2413596) (← links)
- Cliquet option pricing in a jump-diffusion Lévy model (Q2414852) (← links)
- Affordable and adequate annuities with stable payouts: fantasy or reality? (Q2415961) (← links)
- A general closed form option pricing formula (Q2418424) (← links)
- Consistency of Bayesian nonparametric inference for discretely observed jump diffusions (Q2419674) (← links)
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales (Q2423287) (← links)
- High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
- Deconvolution for an atomic distribution (Q2426835) (← links)
- Nonparametric inference for discretely sampled Lévy processes (Q2428954) (← links)
- Circulant preconditioners for pricing options (Q2431151) (← links)
- A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence (Q2441148) (← links)
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach (Q2441572) (← links)
- Pricing catastrophe risk bonds: a mixed approximation method (Q2442520) (← links)
- Best portfolio insurance for long-term investment strategies in realistic conditions (Q2442525) (← links)
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps (Q2443229) (← links)
- Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
- Calibration of self-decomposable Lévy models (Q2444660) (← 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)
- On option pricing in illiquid markets with jumps (Q2449007) (← links)
- On the finite-time nonruin probability of an insurance company with investments in the financial \((B,S)\)-market (Q2452743) (← links)
- Approximate inversion of the Black-Scholes formula using rational functions (Q2455635) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison (Q2466454) (← links)
- An inverse problem of determining the implied volatility in option pricing (Q2467746) (← links)
- Multifrequency jump-diffusions: An equilibrium approach (Q2469552) (← links)
- Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function (Q2471607) (← links)
- MaxVaR with non-Gaussian distributed returns (Q2477676) (← links)
- Computation and sensitivity analysis of the pricing of American call options (Q2493775) (← links)
- Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps (Q2495373) (← links)
- Optimal stock liquidation in a regime switching model with finite time horizon (Q2496679) (← links)
- Catastrophe options with stochastic interest rates and compound Poisson losses (Q2499827) (← links)
