Pages that link to "Item:Q2022921"

The following pages link to Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921):

Displaying 35 items.

• Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541) (← links)
• Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model (Q2097450) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• An analysis of dollar cost averaging and market timing investment strategies (Q2189909) (← links)
• Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model (Q2242652) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• On the bailout dividend problem with periodic dividend payments for spectrally negative Markov additive processes (Q2695946) (← links)
• Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility (Q2786206) (← links)
• A General Framework for Pricing Asian Options Under Markov Processes (Q3450459) (← links)
• (Q3462860) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• Efficient willow tree method for Asian option pricing under Merton jump-diffusion model (Q5196964) (← links)
• A "COHERENT STATE TRANSFORM" APPROACH TO DERIVATIVE PRICING (Q5324398) (← links)
• Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (Q6098033) (← links)
• Option pricing under a Markov-modulated Merton jump-diffusion dividend (Q6107581) (← links)
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) (← links)
• Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model (Q6144094) (← links)
• On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models (Q6167138) (← links)
• Valuation of variable annuities under stochastic volatility and stochastic jump intensity (Q6169665) (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)
• Investigations to the optimal derivative-based investment and proportional reinsurance strategies (Q6536937) (← links)
• Foreign exchange option pricing under the 4/2 stochastic volatility model with CIR interest rates. (Q6541106) (← links)
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate (Q6550279) (← links)
• Efficient recursion-quadrature algorithms for pricing Asian options and variance derivatives under stochastic volatility and Lévy jumps (Q6556204) (← links)
• Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk (Q6591005) (← links)
• On pricing of discrete Asian and Lookback options under the Heston model (Q6625112) (← links)
• Affine models with path-dependence under parameter uncertainty and their application in finance (Q6633872) (← links)
• High order ADI splitting scheme for stochastic volatility model with jump (Q6665171) (← links)