Pages that link to "Item:Q5416704"

The following pages link to TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704):

Displaying 39 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
• Intermittency of superpositions of Ornstein-Uhlenbeck type processes (Q505564) (← links)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← 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)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand (Q1631125) (← links)
• Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
• Stochastic distortion and its transformed copula (Q1742719) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• A censored Ornstein-Uhlenbeck process for rainfall modeling and derivatives pricing (Q2068453) (← links)
• Fast simulation of tempered stable Ornstein-Uhlenbeck processes (Q2095765) (← links)
• Parametric inference for discretely observed subordinate diffusions (Q2417988) (← links)
• Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
• Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704) (← links)
• Pricing variance swaps under subordinated Jacobi stochastic volatility models (Q2669408) (← links)
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
• Multivariate subordination of Markov processes with financial applications (Q2831000) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
• Regime Classification and Stock Loan Valuation (Q3387947) (← links)
• Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
• Exact simulation of Ornstein–Uhlenbeck tempered stable processes (Q4997193) (← links)
• Modelling electricity prices: a time change approach (Q5001192) (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
• Additive normal tempered stable processes for equity derivatives and power-law scaling (Q5072909) (← links)
• Polynomial Jump-Diffusion Models (Q5119413) (← links)
• Forward or backward simulation? A comparative study (Q5139227) (← links)
• Efficient simulation of Lévy-driven point processes (Q5203972) (← links)
• OU models based on positive and negative subordinate processes applying in SHIBOR time series analysis and derivative pricing – through discrete differential method (Q5205895) (← links)
• Equivalent measure changes for subordinate diffusions (Q5243380) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
• Risk‐neutral pricing techniques and examples (Q6054366) (← links)
• Time-squeezing and time-expanding transformations in harmonic force fields (Q6556949) (← links)
• Valuation of forward contract price in energy markets described by a fuzzy-stochastic model and mathematical algorithms: a case study of the PJM western hub real-time peak market (Q6563136) (← links)
• Exact simulation of a truncated Lévy subordinator (Q6600100) (← links)
• From calendar time to business time: the case of commodity markets (Q6649932) (← links)