The following pages link to Time changes for Lévy processes (Q2707163):
Displaying 50 items.
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals (Q488106) (← links)
- Clustered Lévy processes and their financial applications (Q515759) (← links)
- Pricing of the time-change risks (Q543799) (← links)
- Fluctuation scaling and covariance matrix of constituents' flows on a bipartite graph empirical analysis with high-frequency financial data based on a Poisson mixture model (Q614551) (← links)
- Generalized pricing formulas for stochastic volatility jump diffusion models applied to the exponential Vasicek model (Q614589) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- Optimal portfolio allocation with higher moments (Q665798) (← links)
- Time change equations for Lévy-type processes (Q681994) (← links)
- Effect of random time changes on Loewner hulls (Q783780) (← links)
- Properties of multinomial lattices with cumulants for option pricing and hedging (Q853859) (← links)
- Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
- Infinite divisibility for stochastic processes and time change (Q867076) (← links)
- Closed-form valuations of basket options using a multivariate normal inverse Gaussian model (Q1003824) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
- Pricing foreign equity option with stochastic volatility (Q1618699) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise (Q1663599) (← links)
- Empirical scaling laws and the aggregation of non-stationary data (Q1673262) (← links)
- Options pricing with time changed Lévy processes under imprecise information (Q1794512) (← links)
- Factor models for option pricing (Q1934585) (← links)
- Time-changed spectrally positive Lévy processes started from infinity (Q2040064) (← links)
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
- Quadratic variation, models, applications and lessons (Q2170296) (← links)
- Time changes that result in multiple points in continuous-time Markov counting processes (Q2231032) (← links)
- Additive logistic processes in option pricing (Q2238772) (← links)
- Lévy processes driven by stochastic volatility (Q2372257) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- The randomly stopped geometric Brownian motion (Q2453926) (← links)
- Potential theory of geometric stable processes (Q2498924) (← links)
- Green function estimates and Harnack inequality for subordinate Brownian motions (Q2502243) (← links)
- Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. (Q2574601) (← links)
- Multivariate time changes for Lévy asset models: characterization and calibration (Q2654202) (← links)
- An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
- Asset prices are Brownian motion: Only in business time (Q2725577) (← links)
- Purely discontinuous asset price processes (Q2771102) (← links)
- Leveraged Lévy processes as models for stock prices (Q2786277) (← links)
- Lévy processes through time shift on oscillator Weyl algebra (Q2787516) (← links)
- Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform (Q2874728) (← links)
- A generalized variance gamma process for financial applications (Q2893076) (← links)
- On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations (Q2904891) (← links)
- A multivariate pure-jump model with multi-factorial dependence structure (Q2909513) (← links)
- Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations (Q2909517) (← links)
- An Analytical Valuation Framework for Financial Assets with Trading Suspensions (Q3295872) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- CREDIT RISK MODELING USING TIME-CHANGED BROWNIAN MOTION (Q3400133) (← links)
- (Q3457604) (← links)
- Option valuation, time-changed processes and the fast Fourier transform (Q3498557) (← links)
