Pages that link to "Item:Q3169100"
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The following pages link to Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options (Q3169100):
Displaying 41 items.
- Pricing exotic derivatives exploiting structure (Q299917) (← links)
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing (Q309175) (← links)
- On pre-exit joint occupation times for spectrally negative Lévy processes (Q466993) (← links)
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects (Q635177) (← links)
- On occupation times in the red of Lévy risk models (Q784389) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- Occupation times of refracted double exponential jump diffusion processes (Q900561) (← links)
- Fluctuations of Omega-killed spectrally negative Lévy processes (Q1615891) (← links)
- Occupation times of general Lévy processes (Q1692245) (← links)
- \(n\)-dimensional Laplace transforms of occupation times for pre-exit diffusion processes (Q1985945) (← links)
- Occupation time of Lévy processes with jumps rational Laplace transforms (Q1990036) (← links)
- A joint Laplace transform for pre-exit diffusion of occupation times (Q2013127) (← links)
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
- Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
- Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications (Q2098012) (← links)
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
- On the probability of default in a market with price clustering and jump risk (Q2175460) (← links)
- Occupation times for spectrally negative Lévy processes on the last exit time (Q2244451) (← links)
- Occupation times in the MAP risk model (Q2260947) (← links)
- The time of deducting fees for variable annuities under the state-dependent fee structure (Q2347103) (← links)
- Two-sided discounted potential measures for spectrally negative Lévy processes (Q2348319) (← links)
- An occupation time related potential measure for diffusion processes (Q2358367) (← links)
- Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications (Q2407767) (← links)
- Bessel processes, stochastic volatility, and timer options (Q2788692) (← links)
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357) (← links)
- Pricing step options under the CEV and other solvable diffusion models (Q2853376) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) (← links)
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model (Q4682697) (← links)
- A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
- How long does the surplus stay close to its historical high? (Q5086633) (← links)
- Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
- Occupation Times, Drawdowns, and Drawups for One-Dimensional Regular Diffusions (Q5246178) (← links)
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications (Q5247114) (← links)
- The Joint Laplace Transforms for Diffusion Occupation Times (Q5396591) (← links)
- Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
- Joint occupation times in an infinite interval for spectrally negative Lévy processes on the last exit time (Q6054053) (← links)
- Joint distributions concerning last exit time for diffusion processes (Q6082877) (← links)
- Ergodic estimators of double exponential Ornstein-Uhlenbeck processes (Q6133114) (← links)
- The joint Laplace transforms for killed diffusion occupation times (Q6636857) (← links)
