Pages that link to "Item:Q2757306"
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The following pages link to Pricing general barrier options: a numerical approach using sharp large deviations (Q2757306):
Displaying 29 items.
- Stock loan with automatic termination clause, cap and margin (Q630714) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Diffusion transformations, Black-Scholes equation and optimal stopping (Q1617159) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- Exit problem for Ornstein-Uhlenbeck processes: a random walk approach (Q2188138) (← links)
- Approximation of exit times for one-dimensional linear diffusion processes (Q2210603) (← links)
- Large deviations of conditioned diffusions and applications (Q2301479) (← links)
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet (Q2406310) (← links)
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
- A new approach for option pricing under stochastic volatility (Q2425553) (← links)
- Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme (Q2485773) (← links)
- Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes (Q2516390) (← links)
- Exact simulation of final, minimal and maximal values of Brownian motion and jump-diffusions with applications to option pricing (Q2655744) (← links)
- On Sharp Large Deviations for the Bridge of a General Diffusion (Q2798589) (← links)
- The binomial interpolated lattice method for step double barrier options (Q2929371) (← links)
- Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation (Q3094686) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- Large deviation estimates of the crossing probability for pinned Gaussian processes (Q3516397) (← links)
- (Q4934370) (← links)
- Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)
- Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model (Q5014522) (← links)
- Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models (Q5022544) (← links)
- Exact simulation of first exit times for one-dimensional diffusion processes (Q5108959) (← links)
- Pricing barrier stock options with discrete dividends by approximating analytical formulae (Q5245897) (← links)
- BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM (Q5367498) (← links)
- Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
- DIGITAL DOUBLE BARRIER OPTIONS: SEVERAL BARRIER PERIODS AND STRUCTURE FLOORS (Q5411740) (← links)
- Pricing exotic options in a path integral approach (Q5475311) (← links)
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (Q6140451) (← links)
