Pages that link to "Item:Q3521283"

The following pages link to PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283):

Displaying 50 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
• Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
• Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
• An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
• Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
• Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
• Integrated structural approach to credit value adjustment (Q1991244) (← links)
• Conformal accelerations method and efficient evaluation of stable distributions (Q2023071) (← links)
• Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
• A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• A general control variate method for Lévy models in finance (Q2178156) (← links)
• A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Application of homotopy analysis method to option pricing under Lévy processes (Q2254307) (← links)
• Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
• Option pricing with Legendre polynomials (Q2628349) (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• Circulant preconditioning technique for barrier options pricing under fractional diffusion models (Q2804507) (← links)
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
• Pricing Bermudan options in Lévy process models (Q2873138) (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
• Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach (Q2878964) (← links)
• Pricing credit default swaps with bilateral value adjustments (Q2879019) (← links)
• A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
• An Efficient Transform Method for Asian Option Pricing (Q2953943) (← links)
• Unbiased Simulation of Distributions with Explicitly Known Integral Transforms (Q2957032) (← links)
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) (← links)
• On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering (Q3191822) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
• Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)