Pages that link to "Item:Q3450459"

The following pages link to A General Framework for Pricing Asian Options Under Markov Processes (Q3450459):

Displaying 50 items.

• Financial applications of bivariate Markov processes (Q410357) (← links)
• Asian option as a fixed-point (Q721236) (← links)
• Evaluation of the Asian option by the dual martingale measure (Q1000483) (← links)
• Asymptotic analysis of option pricing in a Markov modulated market (Q1043251) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) (← links)
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (Q1754191) (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (Q2150007) (← links)
• Analytical valuation for geometric Asian options in illiquid markets (Q2150932) (← links)
• Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Fourier based methods for the management of complex life insurance products (Q2665862) (← links)
• General optimized lower and upper bounds for discrete and continuous arithmetic Asian options (Q2806817) (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
• Model-Independent Bounds for Asian Options: A Dynamic Programming Approach (Q4591237) (← links)
• SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
• Pricing Asian options in a semimartingale model (Q4610222) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
• Moments of integrated exponential Lévy processes and applications to Asian options pricing (Q5039631) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions (Q5106348) (← links)
• Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611) (← links)
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) (← links)
• Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models (Q5219719) (← links)
• Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
• Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options (Q5940352) (← links)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) (← links)
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550) (← links)
• A general approach for Parisian stopping times under Markov processes (Q6111010) (← links)
• A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
• Pricing Asian options with stochastic convenience yield and jumps (Q6158429) (← links)
• Randomization and the valuation of guaranteed minimum death benefits (Q6167872) (← links)
• A general approximation method for optimal stopping and random delay (Q6178390) (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) (← links)