Pages that link to "Item:Q136006"
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The following pages link to A Jump-Diffusion Model for Option Pricing (Q136006):
Displaying 50 items.
- Optimal design of profit sharing rates by FFT (Q659254) (← links)
- Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791) (← links)
- Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. (Q703247) (← links)
- On the controversy over tailweight of distributions. (Q703249) (← links)
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
- Jump diffusion models and the evolution of financial prices (Q715465) (← links)
- A structural jump-diffusion model for pricing collateralized debt obligations tranches (Q716531) (← 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)
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
- Market attention and Bitcoin price modeling: theory, estimation and option pricing (Q777928) (← links)
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR (Q784441) (← links)
- Options with constant underlying elasticity in strikes (Q812141) (← links)
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes (Q830713) (← links)
- Pricing double-barrier options under a flexible jump diffusion model (Q833566) (← links)
- The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859) (← links)
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model (Q878214) (← links)
- Spectral calibration of exponential Lévy models (Q881412) (← links)
- Lookback option pricing for regime-switching jump diffusion models (Q888789) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions? (Q896747) (← links)
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← 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)
- Stochastic \(\theta\)-methods for a class of jump-diffusion stochastic pantograph equations with random magnitude (Q904612) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- Jump diffusion model with application to the Japanese stock market (Q929689) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
- The integral option in a model with jumps (Q952844) (← 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)
- Pricing American options when asset prices jump (Q969504) (← links)
- Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- Distribution-free option pricing (Q995496) (← links)
- On the asymptotic behaviour of Lévy processes. I: Subexponential and exponential processes (Q1001850) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- On first passage times of a hyper-exponential jump diffusion process (Q1015316) (← links)
- A jump-diffusion model for option pricing under fuzzy environments (Q1023093) (← links)
- Third-order extensions of Lo's semiparametric bound for European call options (Q1026788) (← links)
- A tale of two volatilities (Q1037571) (← links)
- Alternative models for stock price dynamics. (Q1398979) (← links)
- An empirical model of volatility of returns and option pricing (Q1409097) (← links)
