Pages that link to "Item:Q3111060"
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The following pages link to Connecting discrete and continuous lookback or hindsight options in exponential Lévy models (Q3111060):
Displaying 14 items.
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- Multilevel Monte Carlo for exponential Lévy models (Q2412390) (← links)
- Lookback option prices under a spectrally negative tempered-stable model (Q2841328) (← links)
- A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
- On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
- Error Bounds for Small Jumps of Lévy Processes (Q4915651) (← links)
- Geometrically Convergent Simulation of the Extrema of Lévy Processes (Q5085135) (← links)
- Continuity Correction for Barrier Options in Jump-Diffusion Models (Q5388688) (← links)
- Continuity correction: on the pricing of discrete double barrier options (Q6154209) (← links)
- A Multivariate Stochastic Degradation Model for Dependent Performance Characteristics (Q6631135) (← links)
