Pages that link to "Item:Q2873135"

The following pages link to Efficient pricing of European-style Asian options under exponential Lévy processes based on Fourier cosine expansions (Q2873135):

Displaying 50 items.

• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749) (← links)
• A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
• Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541) (← links)
• On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
• An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
• A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• A Fourier-cosine method for finite-time ruin probabilities (Q2038248) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Exact simulation of normal tempered stable processes of OU type with applications (Q2080363) (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model (Q2097450) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
• Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
• Finite-time dividend problems in a Lévy risk model under periodic observation (Q2242128) (← links)
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
• Asian options and meromorphic Lévy processes (Q2255010) (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361) (← links)
• Fourier-cosine method for ruin probabilities (Q2515094) (← links)
• Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market (Q2666233) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• An Efficient Transform Method for Asian Option Pricing (Q2953943) (← links)
• PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options (Q3448333) (← links)
• A General Framework for Pricing Asian Options Under Markov Processes (Q3450459) (← links)
• Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
• Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes (Q4554509) (← links)
• Geometric Asian option pricing in general affine stochastic volatility models with jumps (Q4555113) (← links)
• On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160) (← links)
• APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (Q4563791) (← links)
• A Highly Efficient Numerical Method for the SABR Model (Q4626505) (← links)
• Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
• 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)
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting (Q5031764) (← links)
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
• Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
• IMEX Methods for Pricing Fixed Strike Asian Options with Jump-Diffusion Models (Q5205236) (← links)
• Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← 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)
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) (← links)
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094) (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)
• BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options (Q6553601) (← links)
• Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (Q6556204) (← links)
• Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model (Q6615089) (← links)
• On pricing of discrete Asian and Lookback options under the Heston model (Q6625112) (← links)