Pages that link to "Item:Q136006"

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

Displaying 50 items.

• Pricing Israeli options: a pathwise approach (Q3429336) (← links)
• Perpetual barrier options in jump-diffusion models (Q3429337) (← links)
• First Order Strong Approximations of Jump Diffusions (Q3431322) (← links)
• A General Framework for Pricing Asian Options Under Markov Processes (Q3450459) (← links)
• (Q3501842) (← links)
• APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING (Q3560080) (← links)
• AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS (Q3566764) (← links)
• ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS (Q3566765) (← links)
• A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (Q3577151) (← links)
• On the numerical evaluation of option prices in the variance gamma model (Q3603600) (← links)
• Pricing jump risk with utility indifference (Q3623407) (← links)
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES (Q3637887) (← links)
• A multivariate Lévy process model with linear correlation (Q3645200) (← links)
• First passage times of a jump diffusion process (Q4449508) (← links)
• American-style options in jump-diffusion models: estimation and evaluation (Q4554221) (← links)
• Valuation of American options under the CGMY model (Q4554225) (← links)
• Dividend derivatives (Q4554410) (← links)
• A slightly depressing jump model: intraday volatility pattern simulation (Q4554418) (← links)
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
• On the First Passage Time Under Regime-Switching with Jumps (Q4561943) (← links)
• A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing (Q4562481) (← links)
• VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK (Q4563742) (← links)
• FOURTH-ORDER COMPACT SCHEME FOR OPTION PRICING UNDER THE MERTON’S AND KOU’S JUMP-DIFFUSION MODELS (Q4571701) (← links)
• On the valuation of reverse mortgage insurance (Q4576970) (← links)
• Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models (Q4584999) (← links)
• Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions (Q4591239) (← links)
• Jump locations of jump-diffusion processes with state-dependent rates (Q4595430) (← links)
• Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms (Q4600764) (← links)
• A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
• Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method (Q4610221) (← links)
• From local volatility to local Lévy models (Q4610266) (← links)
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
• Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) (← links)
• The calibration of volatility for option pricing models with jump diffusion processes (Q4622837) (← links)
• Cubic spline wavelets with four vanishing moments on the interval and their applications to option pricing under Kou model (Q4626533) (← links)
• Spatial asymptotics at infinity for heat kernels of integro-differential operators (Q4633636) (← links)
• Analysis of a jump-diffusion option pricing model with serially correlated jump sizes (Q4634810) (← links)
• INTERNATIONAL RESERVE MANAGEMENT: A DRIFT‐SWITCHING REFLECTED JUMP‐DIFFUSION MODEL (Q4635046) (← links)
• Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252) (← links)
• Pricing dynamic fund protections for a hyperexponential jump diffusion process (Q4638697) (← links)
• Distributional divergence, statistical experiments and consequences in option pricing (Q4639146) (← links)
• DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS (Q4645330) (← links)
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (Q4673853) (← links)
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) (← links)
• Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model (Q4682697) (← links)
• Multiscale exponential Lévy-type models (Q4682996) (← links)
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates (Q4682998) (← links)
• Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (Q4683049) (← links)