Pages that link to "Item:Q854279"
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The following pages link to A jump to default extended CEV model: an application of Bessel processes (Q854279):
Displaying 19 items.
- Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)
- CDS calibration under an extended JDCEV model (Q5031741) (← links)
- LOCAL RISK MINIMIZATION OF CONTINGENT CLAIMS SIMULTANEOUSLY EXPOSED TO ENDOGENOUS AND EXOGENOUS DEFAULT TIMES (Q5061487) (← links)
- On model robustness of the regime switching approach for pegged foreign exchange markets (Q5092650) (← links)
- Risk-Sensitive Asset Management and Cascading Defaults (Q5219291) (← links)
- A recursive method for static replication of autocallable structured products (Q5234318) (← links)
- PRICING DOUBLE BARRIER OPTIONS ON HOMOGENEOUS DIFFUSIONS: A NEUMANN SERIES OF BESSEL FUNCTIONS REPRESENTATION (Q5242954) (← links)
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
- The exact smile of certain local volatility models (Q5397427) (← links)
- On the computation of option prices and Greeks under the CEV model (Q5397428) (← links)
- A tractable model for indices approximating the growth optimal portfolio (Q5404067) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)
- PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS (Q5420699) (← links)
- PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY (Q5488975) (← links)
- Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
- Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model (Q5742992) (← links)
- A multiscale correction to the Black-Scholes formula (Q6571884) (← links)
- Finite maturity caps and floors on continuous flows under the constant elasticity of variance process (Q6586283) (← links)
- A novel term-structure-based Heston model for implied volatility surface (Q6590577) (← links)
