Pages that link to "Item:Q5452379"

The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):

Displaying 50 items.

• The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model (Q607574) (← links)
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process (Q613244) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
• A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
• A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671) (← links)
• Convergence analysis of semi-implicit Euler methods for solving stochastic equations with variable delays and random jump magnitudes (Q629527) (← links)
• Production technologies in stochastic continuous time models (Q631259) (← links)
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method (Q633968) (← links)
• Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (Q635177) (← links)
• Testing whether jumps have finite or infinite activity (Q638809) (← links)
• Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
• Modeling chinese stock returns with stable distribution (Q646126) (← links)
• Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets (Q651334) (← links)
• Pricing catastrophe swaps: a contingent claims approach (Q654831) (← links)
• Regime-switching risk: to price or not to price? (Q655231) (← links)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
• Competing particle systems evolving by interacting Lévy processes (Q655586) (← links)
• The valuation of contingent capital with catastrophe risks (Q659096) (← links)
• Markov-modulated jump-diffusions for currency option pricing (Q659253) (← links)
• A recombining lattice option pricing model that relaxes the assumption of lognormality (Q660165) (← links)
• Exact simulation of jump-diffusion processes with Monte Carlo applications (Q660166) (← links)
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
• Analytical VaR for international portfolios with common jumps (Q662223) (← links)
• Correlation and the pricing of risks (Q665786) (← links)
• Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791) (← links)
• Nonparametric implied Lévy densities (Q666590) (← links)
• The existence and asymptotic estimations of solutions to stochastic pantograph equations with diffusion and Lévy jumps (Q668208) (← links)
• An approximation of small-time probability density functions in a general jump diffusion model (Q668543) (← links)
• Threshold behavior of a stochastic SIS model with Lévy jumps (Q668923) (← links)
• An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve (Q670282) (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
• The asymptotic smile of a multiscaling stochastic volatility model (Q681999) (← links)
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
• GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate (Q706644) (← links)
• An asymptotic expansion for a Black--Scholes type model (Q707247) (← links)
• Tractable stochastic analysis in high dimensions via robust optimization (Q715242) (← links)
• Itô and Stratonovich integrals on compound renewal processes: the normal/Poisson case (Q718268) (← links)
• Numerical methods for a class of jump-diffusion systems with random magnitudes (Q718596) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• Long-run wavelet-based correlation for financial time series (Q724160) (← links)
• Pricing American options under multi-states: a radial basis collocation approach (Q725397) (← links)
• Jumps and betas: a new framework for disentangling and estimating systematic risks (Q736514) (← links)
• Realised quantile-based estimation of the integrated variance (Q736690) (← links)
• Realized jumps on financial markets and predicting credit spreads (Q737268) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Testing and detecting jumps based on a discretely observed process (Q738031) (← links)
• A stable Cox-Ingersoll-Ross model with restart (Q739517) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951) (← links)