Pages that link to "Item:Q5452379"

The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):

Displaying 50 items.

• The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
• A binomial contingent claims model for valuing risky ventures (Q803013) (← links)
• Options with constant underlying elasticity in strikes (Q812141) (← links)
• High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU (Q825500) (← links)
• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes (Q830713) (← links)
• Optimal algorithms for \(k\)-search with application in option pricing (Q834594) (← links)
• The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
• Evaluation of the MEMM, parameter estimation and option pricing for geometric Lévy processes (Q841858) (← links)
• Finite project life and uncertainty effects on investment (Q844709) (← links)
• Stochastic differential equations with diffusion and jumps modeling currency markets (Q845088) (← links)
• SDP relaxation of arbitrage pricing bounds based on option prices and moments (Q848736) (← links)
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
• The multifactor nature of the volatility of futures markets (Q853577) (← links)
• Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859) (← links)
• A complete-market generalization of the Black-Scholes model (Q853864) (← links)
• A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
• Numerical analysis for stochastic age-dependent population equations with Poisson jumps (Q860657) (← links)
• Statistical options: crash resistant financial contracts based on robust estimation (Q871038) (← links)
• Convergence of the binomial tree method for Asian options in jump-diffusion models (Q874917) (← links)
• Spectral calibration of exponential Lévy models (Q881412) (← links)
• Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
• Algebraic invariance conditions in the study of approximate (null-)controllability of Markov switch processes (Q887931) (← links)
• Specification tests of calibrated option pricing models (Q888333) (← 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)
• Feynman-Kac for functional jump diffusions with an application to credit value adjustment (Q894585) (← 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)
• FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility (Q902968) (← links)
• Time-consistent actuarial valuations (Q903338) (← links)
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
• Portfolio selection problem with value-at-risk constraints under non-extensive statistical mechanics (Q908370) (← links)
• Large deviation principle for an estimator of the diffusion coefficient in a jump-diffusion process (Q927361) (← links)
• Pricing risky debts under a Markov-modulated Merton model with completely random measures (Q928153) (← 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)
• A game theoretic approach to option valuation under Markovian regime-switching models (Q931215) (← links)
• On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
• The influence of corporate taxes on pricing and capital structure in property-liability insurance (Q939326) (← links)
• Some stability results of optimal investment in a simple Lévy market (Q939388) (← links)
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
• Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
• Small dimension PDE for discrete Asian options (Q951412) (← links)
• Simulation-based exact jump tests in models with conditional heteroskedasticity (Q951480) (← 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 compound option approach to American options on jump-diffusions (Q953702) (← links)
• Dynamic asset pricing theory with uncertain time-horizon (Q956467) (← links)
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)