Pages that link to "Item:Q136006"

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

Displaying 50 items.

• The Term Structure of Simple Forward Rates with Jump Risk (Q4812840) (← links)
• Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
• A Multiresolution Method for Parameter Estimation of Diffusion Processes (Q4904733) (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
• EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526) (← links)
• Fast exponential time integration scheme for option pricing with jumps (Q4909730) (← links)
• ASYMPTOTICS FOR EXPONENTIAL LÉVY PROCESSES AND THEIR VOLATILITY SMILE: SURVEY AND NEW RESULTS (Q4916238) (← links)
• A CONSISTENT PRICING MODEL FOR INDEX OPTIONS AND VOLATILITY DERIVATIVES (Q4917298) (← links)
• (Q4925745) (← links)
• Dividend derivatives (Q4957231) (← links)
• A nonparametric approach to the estimation of jump-diffusion models with asymmetric kernels (Q4966763) (← links)
• Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? (Q4971982) (← links)
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) (← links)
• Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303) (← links)
• Pricing American options under jump-diffusion models using local weak form meshless techniques (Q4976348) (← links)
• Parameters estimation using the first passage times method in a jump-diffusion model (Q4989286) (← links)
• TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS (Q4990921) (← links)
• Detecting and modelling the jump risk of CO₂emission allowances and their impact on the valuation of option on futures contracts (Q5001169) (← links)
• Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model (Q5014522) (← links)
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) (← links)
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (Q5025469) (← links)
• Valuation of Discrete Dynamic Fund Protection Under Lévy Processes (Q5029063) (← links)
• Optimal convergence rates for the invariant density estimation of jump-diffusion processes (Q5030241) (← links)
• Option pricing under a jump-telegraph diffusion model with jumps of random size (Q5031709) (← links)
• An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models (Q5031851) (← links)
• Optimal asset allocation for outperforming a stochastic benchmark target (Q5039625) (← links)
• OPTION SURFACE STATISTICS WITH APPLICATIONS (Q5048581) (← links)
• A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
• LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS (Q5051184) (← links)
• PRICING FORMULA FOR EXCHANGE OPTION BASED ON STOCHASTIC DELAY DIFFERENTIAL EQUATION WITH JUMPS (Q5051185) (← links)
• LOCALLY RISK-MINIMIZING HEDGING FOR EUROPEAN CONTINGENT CLAIMS WRITTEN ON NON-TRADABLE ASSETS WITH COMMON JUMP RISK (Q5051211) (← links)
• EQUILIBRIUM VALUATION OF CURRENCY OPTIONS UNDER A DISCONTINUOUS MODEL WITH CO-JUMPS (Q5051916) (← links)
• STOCHASTIC VOLATILITY MODEL WITH CORRELATED JUMP SIZES AND INDEPENDENT ARRIVALS (Q5051922) (← links)
• Explicit criteria for moment exponential stability and instability of switching diffusions with Lévy noise (Q5056568) (← links)
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604) (← links)
• Dark Matter in (Volatility and) Equity Option Risk Premiums (Q5060490) (← links)
• THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION (Q5062435) (← links)
• UNIT ROOT TEST WITH HIGH-FREQUENCY DATA (Q5065460) (← links)
• Likelihood Evaluation of Jump-Diffusion Models Using Deterministic Nonlinear Filters (Q5066397) (← links)
• PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS (Q5069517) (← links)
• Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models (Q5075238) (← links)
• Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models (Q5078514) (← links)
• Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360) (← links)
• Pricing multi-asset American option under Heston-CIR diffusion model with jumps (Q5082773) (← links)
• Acceptability indices of performance for bounded càdlàg processes (Q5086526) (← links)
• A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps (Q5086642) (← links)
• A Stochastic Control Approach to Defined Contribution Plan Decumulation: <i>“The Nastiest, Hardest Problem in Finance”</i> (Q5090568) (← links)
• A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps (Q5093699) (← links)
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724) (← links)
• Modeling the Risk in Mortality Projections (Q5106354) (← links)