Pages that link to "Item:Q99433"

The following pages link to A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (Q99433):

Displaying 50 items.

• Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303) (← links)
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380) (← links)
• Valuation of forward start options under affine jump-diffusion models (Q5001168) (← links)
• Application of power series approximation techniques to valuation of European style options (Q5014193) (← links)
• A functional analysis approach to the static replication of European options (Q5014195) (← links)
• Informative option portfolios in filter design for option pricing models (Q5014228) (← links)
• Speed and biases of Fourier-based pricing choices: a numerical analysis (Q5028604) (← links)
• A stochastic local volatility technique for TARN options (Q5030544) (← links)
• Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate (Q5030547) (← links)
• Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (Q5030643) (← links)
• Numerical valuation of Bermudan basket options via partial differential equations (Q5031294) (← links)
• Quantifying credit portfolio losses under multi-factor models (Q5031704) (← links)
• Isogeometric analysis in option pricing (Q5031706) (← links)
• Moments of integrated exponential Lévy processes and applications to Asian options pricing (Q5039631) (← links)
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604) (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
• The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
• Lifting the Heston model (Q5120731) (← links)
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
• An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (Q5139234) (← links)
• COLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELS (Q5148005) (← links)
• OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing – through discrete differential method (Q5205895) (← links)
• SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
• Polynomial Processes for Power Prices (Q5217497) (← links)
• American option pricing under the double Heston model based on asymptotic expansion (Q5234286) (← links)
• The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions (Q5234297) (← links)
• Generative Bayesian neural network model for risk-neutral pricing of American index options (Q5234315) (← links)
• Calibration and advanced simulation schemes for the Wishart stochastic volatility model (Q5234328) (← links)
• Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
• ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS (Q5245884) (← links)
• Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) (← links)
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
• Laplace transform approach to option pricing for time-changed Brownian models (Q5267902) (← links)
• On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
• Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
• Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
• PERFORMANCE OF ROBUST HEDGES FOR DIGITAL DOUBLE BARRIER OPTIONS (Q5389100) (← links)
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
• Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
• Computing the Gerber–Shiu function by frame duality projection (Q5743539) (← links)
• Convergence of a Robust Deep FBSDE Method for Stochastic Control (Q5886857) (← links)
• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
• Option pricing under stochastic volatility models with latent volatility (Q6053121) (← links)
• Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364) (← links)
• Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method (Q6058844) (← links)
• Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option (Q6089117) (← links)
• On a time-changed Lévy risk model with capital injections and periodic observation (Q6094062) (← links)
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (Q6098033) (← links)
• Numerical valuation of European and American options under Merton's model (Q6099987) (← links)
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) (← links)