Pages that link to "Item:Q136006"

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

Displaying 50 items.

• Some explicit results on first exit times for a jump diffusion process involving semimartingale local time (Q2664543) (← links)
• Computation of the unknown volatility from integral option price observations in jump-diffusion models (Q2664823) (← links)
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems (Q2666189) (← links)
• Short term decumulation strategies for underspending retirees (Q2670108) (← links)
• Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient (Q2670503) (← links)
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility (Q2673416) (← links)
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
• Foreign exchange options on Heston-CIR model under Lévy process framework (Q2698161) (← links)
• Valuation of European crude oil options with co-jump diffusions and stochastic interest rate (Q2698596) (← links)
• A simple model for option pricing with jumping stochastic volatility (Q2703110) (← links)
• Estimation and Calibration of Lévy Models via Fourier Methods (Q2786961) (← links)
• An Improved Test for Continuous Local Martingales (Q2792264) (← links)
• A solvable singular control problem driven by a jump diffusion process with applications (Q2803407) (← links)
• Pricing Bermudan options under Merton jump-diffusion asset dynamics (Q2804498) (← links)
• A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
• Partially-observable stochastic hybrid systems (poshss) state estimation and optimal control (Q2813998) (← links)
• Optimal stopping for Lévy processes with one-sided solutions (Q2822793) (← links)
• On valuation with stochastic proportional hazard models in finance (Q2841334) (← links)
• Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk (Q2842534) (← links)
• Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model (Q2864673) (← links)
• An extension of CreditGrades model approach with Lévy processes (Q2866399) (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
• Path-dependent option pricing under a two-sided jump-diffusion model (Q2887198) (← links)
• Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture (Q2892978) (← links)
• Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517) (← links)
• Two-Sided Estimates for Distribution Densities in Models with Jumps (Q2914792) (← links)
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
• Optimality of payoffs in Lévy models (Q2929383) (← links)
• Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion (Q2931944) (← links)
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
• AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION (Q2941065) (← links)
• ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470) (← links)
• Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models (Q2979963) (← links)
• Boundary value methods with the Crank–Nicolson preconditioner for pricing options in the jump-diffusion model (Q3008377) (← links)
• Pricing the Zero-Coupon Bond and its Fair Premium Under a Structural Credit Risk Model with Jumps (Q3014981) (← links)
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM (Q3022098) (← links)
• Explicit Solution Processes for Nonlinear Jump-Diffusion Equations (Q3060130) (← links)
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
• TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258) (← links)
• Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) (← links)
• Convergence of Numerical Approximation for Jump Models Involving Delay and Mean-Reverting Square Root Process (Q3168702) (← links)
• Option valuation for the double-factor-cross-feedback infinite activity jump-diffusion model (Q3175669) (← links)
• A Standardized Normal-Laplace Mixture Distribution Fitted to Symmetric Implied Volatility Smiles (Q3178531) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• Wavelet Galerkin pricing of American options on Lévy driven assets (Q3375382) (← links)
• Regime Classification and Stock Loan Valuation (Q3387947) (← links)
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (Q3395729) (← links)
• PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS (Q3400131) (← links)