Pages that link to "Item:Q4939318"
From MaRDI portal
The following pages link to The Variance Gamma Process and Option Pricing (Q4939318):
Displaying 50 items.
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Approximating Lévy processes with completely monotone jumps (Q259581) (← links)
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Saddlepoint approximations for continuous-time Markov processes (Q278194) (← links)
- Econometric specification of stochastic discount factor models (Q278271) (← links)
- Double asymptotics for explosive continuous time models (Q284296) (← links)
- The acceptance-rejection method for low-discrepancy sequences (Q293509) (← links)
- The applications of partial integro-differential equations related to adaptive wavelet collocation methods for viscosity solutions to jump-diffusion models (Q295205) (← links)
- Robust option pricing (Q297417) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- A jump model for fads in asset prices under asymmetric information (Q299877) (← links)
- Risk premia in option markets (Q300692) (← links)
- Additive subordination and its applications in finance (Q309162) (← links)
- A note on the pricing of multivariate contingent claims under a transformed-gamma distribution (Q315039) (← links)
- Dynamic conic hedging for competitiveness (Q317543) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- The implication of missing the optimal-exercise time of an American option (Q319234) (← links)
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
- On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
- On the generalized lognormal distribution (Q361595) (← links)
- Capturing parameter risk with convex risk measures (Q362040) (← links)
- Pricing permanent convertible bonds in EVG model (Q377906) (← links)
- Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540) (← links)
- Option pricing by mean correcting method for non-Gaussian Lévy processes (Q381063) (← links)
- Jump tail dependence in Lévy copula models (Q385630) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
- Approximation of the variance gamma model with a finite mixture of normals (Q419211) (← links)
- An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (Q425903) (← links)
- Modeling high-frequency financial data by pure jump processes (Q447825) (← links)
- Sieve-based confidence intervals and bands for Lévy densities (Q453294) (← links)
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility (Q465438) (← links)
- Bid and ask prices as non-linear continuous time G-expectations based on distortions (Q468119) (← links)
- Asymptotics of implied volatility to arbitrary order (Q468415) (← links)
- Statistical estimation of Lévy-type stochastic volatility models (Q470521) (← links)
- Two price economies in continuous time (Q470719) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
- Estimating parametric models of probability distributions (Q496976) (← links)
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock (Q500285) (← links)
- Adaptive pointwise estimation for pure jump Lévy processes (Q500871) (← links)
- Weak convergence of the empirical truncated distribution function of the Lévy measure of an Itō semimartingale (Q529427) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Equilibrium preference free pricing of derivatives under the generalized beta distributions (Q541594) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- Consistent modeling of S\&P 500 and VIX derivatives (Q609838) (← links)
- Approximations for the distributions of bounded variation Lévy processes (Q613155) (← links)
- Pricing CDO tranches in an intensity based model with the mean reversion approach (Q614311) (← links)
