Pages that link to "Item:Q2488481"

The following pages link to Integro-differential equations for option prices in exponential Lévy models (Q2488481):

Displaying 50 items.

• Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
• Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
• A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
• On the calibration of local jump-diffusion asset price models (Q484208) (← links)
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
• Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
• Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q641552) (← links)
• On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
• A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
• Exotic options under Lévy models: an overview (Q818210) (← links)
• Spectral calibration of exponential Lévy models (Q881412) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
• Weak reflection principle for Lévy processes (Q894806) (← links)
• Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540) (← links)
• Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets (Q1676977) (← links)
• Value function regularity in option pricing problems under a pure jump model (Q1678504) (← links)
• Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
• Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
• Tangent Lévy market models (Q1761433) (← links)
• Extracting market information from equity options with exponential Lévy processes (Q1994305) (← links)
• Numerical solution of high-order Volterra-Fredholm integro-differential equations by using Legendre collocation method (Q2001624) (← links)
• Option valuation under the VG process by a DG method. (Q2058996) (← links)
• Volterra-type integro-differential equations with two-point singular differential operator (Q2121970) (← links)
• Fitted second order numerical method for a singularly perturbed Fredholm integro-differential equation (Q2190716) (← links)
• Option pricing in illiquid markets: a fractional jump-diffusion approach (Q2195887) (← links)
• A robust numerical method for a singularly perturbed Fredholm integro-differential equation (Q2222876) (← links)
• Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (Q2238770) (← links)
• Numerical algorithm based on extended barycentric Lagrange interpolant for two dimensional integro-differential equations (Q2242110) (← links)
• Jump-diffusion processes in random environments (Q2249246) (← links)
• Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
• Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations (Q2276344) (← links)
• A new algorithm for the solution of nonlinear two-dimensional Volterra integro-differential equations of high-order (Q2279856) (← links)
• Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
• Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option (Q2422168) (← links)
• Integro-differential equations for foreign currency option prices in exponential Lévy models (Q2469444) (← links)
• Option pricing for time-change exponential Lévy model under MEMM (Q2480093) (← links)
• An improved method based on Haar wavelets for numerical solution of nonlinear integral and integro-differential equations of first and higher orders (Q2511218) (← links)
• Forward equations for option prices in semimartingale models (Q2516772) (← links)
• On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces (Q2633632) (← links)
• A-PINN: auxiliary physics informed neural networks for forward and inverse problems of nonlinear integro-differential equations (Q2671335) (← links)
• Feynman–Kac formulas for regime-switching jump diffusions and their applications (Q2804019) (← links)
• ON PRICING EUROPEAN CALL OPTION 0N EXPONENTIAL L\'{E}VY MODEL WITH JUMPS IN INTEREST RATE (Q2959586) (← links)
• NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
• Integro-differential equations for option prices in Markov switching exponential Lévy models (Q2992251) (← links)
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (Q3423398) (← links)
• Perpetual barrier options in jump-diffusion models (Q3429337) (← links)