Pages that link to "Item:Q4939318"
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The following pages link to The Variance Gamma Process and Option Pricing (Q4939318):
Displaying 50 items.
- Testing whether jumps have finite or infinite activity (Q638809) (← links)
- A normal inverse Gaussian model for a risky asset with dependence (Q654485) (← links)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
- The \(\beta \)-variance gamma model (Q660161) (← links)
- Optimal portfolio allocation with higher moments (Q665798) (← links)
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling (Q745333) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
- Equilibrium effects of intraday order-splitting benchmarks (Q829334) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- Hausdorff-Besicovitch dimension of graphs and \(p\)-variation (Q852284) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
- Generalized normal-Laplace AR process (Q923864) (← links)
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation (Q931375) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Option pricing in a regime-switching model using the fast Fourier transform (Q937475) (← links)
- Determinants of S\&P 500 index option returns (Q941727) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Small-time moment asymptotics for Lévy processes (Q958971) (← links)
- Quasi-Monte Carlo methods with applications in finance (Q964676) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- Variance-optimal hedging for processes with stationary independent increments (Q997954) (← links)
- Some explicit Krein representations of certain subordinators, including the gamma process (Q998128) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- Subordination, self-similarity, and option pricing (Q1009413) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Multiple priors and asset pricing (Q1023977) (← links)
- Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013) (← links)
- On the functional estimation of jump-diffusion models. (Q1398983) (← links)
- Asymmetric Laplace laws and modeling financial data (Q1600523) (← links)
- Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
- Option pricing for stochastic volatility model with infinite activity Lévy jumps (Q1619524) (← links)
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
- American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- A general framework for time-changed Markov processes and applications (Q1622827) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps (Q1640054) (← links)
- Selfdecomposability and selfsimilarity: a concise primer (Q1672921) (← links)
- Optimal hedging via large deviation (Q1673025) (← links)
- On risk measuring in the variance-gamma model (Q1688726) (← links)
- Discrete hedging in the mean/variance model for European call options (Q1694668) (← links)
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach (Q1697245) (← links)
