Pages that link to "Item:Q937475"

The following pages link to Option pricing in a regime-switching model using the fast Fourier transform (Q937475):

Displaying 44 items.

• Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
• Option pricing and hedging under a stochastic volatility Lévy process model (Q437103) (← links)
• A trend-following strategy: conditions for optimality (Q534275) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• Pricing American options under multi-states: a radial basis collocation approach (Q725397) (← links)
• On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
• A path-independent method for barrier option pricing in hidden Markov models (Q1618828) (← links)
• Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
• Valuation of correlation options under a stochastic interest rate model with regime switching (Q1690474) (← links)
• Pricing extendible options using the fast Fourier transform (Q1719223) (← links)
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
• Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model (Q1999691) (← links)
• Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
• Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
• A deposit insurance pricing with a multi-state regime-switching volatility (Q2114499) (← links)
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
• A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
• Option pricing using the fast Fourier transform under the double exponential jump model with stochastic volatility and stochastic intensity (Q2252400) (← links)
• BSDEs with regime switching: weak convergence and applications (Q2257512) (← links)
• Pricing annuity guarantees under a double regime-switching model (Q2347059) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• Trading a mean-reverting asset: buy low and sell high (Q2440761) (← links)
• A lattice method for option pricing with two underlying assets in the regime-switching model (Q2448349) (← links)
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) (← links)
• Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
• SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL (Q2986670) (← links)
• The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework (Q3385434) (← links)
• Option valuation, time-changed processes and the fast Fourier transform (Q3498557) (← links)
• Analytic value function for optimal regime-switching pairs trading rules (Q4554446) (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes (Q4903222) (← links)
• Viscosity solutions and the pricing of European-style options in a Markov-modulated exponential Lévy model (Q5086465) (← links)
• FINITE MATURITY AMERICAN-STYLE STOCK LOANS WITH REGIME-SWITCHING VOLATILITY (Q5158751) (← links)
• Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
• An FFT approach for option pricing under a regime-switching stochastic interest rate model (Q5349081) (← links)
• VARIANCE AND VOLATILITY SWAPS UNDER A TWO-FACTOR STOCHASTIC VOLATILITY MODEL WITH REGIME SWITCHING (Q5384677) (← links)
• FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) (← links)
• Computational Science and Its Applications – ICCSA 2004 (Q5901305) (← links)
• Estimating models based on Markov jump processes given fragmented observation series (Q5962989) (← links)
• An integral equation approach for pricing American put options under regime-switching model (Q6176012) (← links)
• Estimation of regime-switching diffusions via Fourier transforms (Q6547753) (← links)
• Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model (Q6581905) (← links)