Pages that link to "Item:Q4581292"

The following pages link to Error analysis of finite difference and Markov chain approximations for option pricing (Q4581292):

Displaying 26 items.

• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← 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)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• Error estimates for binomial approximations of game put options (Q2510955) (← 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)
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods (Q4572020) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
• Efficient and accurate finite difference method for the four underlying asset ELS (Q5039647) (← 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)
• (Q5319025) (← links)
• Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← 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)
• Speed and duration of drawdown under general Markov models (Q6576880) (← links)