Pages that link to "Item:Q1297909"
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The following pages link to Connecting discrete and continuous path-dependent options (Q1297909):
Displaying 50 items.
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749) (← links)
- Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- Chapman-Kolmogorov lattice method for derivatives pricing (Q505800) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- An exact subexponential-time lattice algorithm for Asian options (Q878377) (← links)
- Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
- Lookback option pricing for regime-switching jump diffusion models (Q888789) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds (Q1008586) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Feynman-Kac's representation in time-space domains and sensitivity with respect to the domain (Q1409733) (← links)
- PDE methods for pricing barrier options (Q1583144) (← links)
- Using forward Monte-Carlo simulation for the valuation of American barrier options (Q1639295) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
- Contingent claims on assets with conversion costs. (Q1873082) (← links)
- Improving Brownian approximations for boundary crossing problems (Q1940752) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
- A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
- Discrete approximation of finite-horizon American-style options (Q2466765) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Hedging in an illiquid binomial market (Q2510779) (← links)
- Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes (Q2516390) (← links)
- An efficient convergent lattice algorithm for European Asian options (Q2571992) (← links)
- Rate of convergence of option prices by using the method of pseudomoments (Q2817056) (← links)
- Lookback option prices under a spectrally negative tempered-stable model (Q2841328) (← links)
- <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
- A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
- Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets (Q2960466) (← links)
- On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
- Connecting discrete and continuous lookback or hindsight options in exponential Lévy models (Q3111060) (← links)
- Double knock-out Asian barrier options which widen or contract as they approach maturity (Q3395741) (← links)
- Barrier option pricing: a hybrid method approach (Q3395743) (← links)
- Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes (Q3424322) (← links)
- Pricing Israeli options: a pathwise approach (Q3429336) (← links)
- PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE (Q3444863) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (Q3445892) (← links)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options (Q3445893) (← links)
- PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333) (← links)
