Pages that link to "Item:Q964690"

The following pages link to Fast and accurate pricing of barrier options under Lévy processes (Q964690):

Displaying 48 items.

• Approximating Lévy processes with completely monotone jumps (Q259581) (← links)
• Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
• Additive subordination and its applications in finance (Q309162) (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) (← links)
• A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
• Stock loan with automatic termination clause, cap and margin (Q630714) (← links)
• On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
• The \(\beta\)-Meixner model (Q765298) (← links)
• On the supremum of the spectrally negative stable process with drift (Q900970) (← links)
• Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach (Q904596) (← links)
• Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
• Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
• Barrier style contracts under Lévy processes once again (Q1744875) (← links)
• Barrier options and touch-and-out options under regular Lévy processes of exponential type (Q1872362) (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) (← links)
• Very fast algorithms for implied barriers and moving-barrier options pricing (Q2104341) (← links)
• First-passage times of regime switching models (Q2251701) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (Q2391871) (← links)
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation (Q2675813) (← links)
• Pricing and hedging barrier options in a hyper-exponential additive model (Q2786031) (← links)
• A weak approximation for the Wiener–Hopf factorization (Q2813510) (← links)
• Efficient Laplace inversion, Wiener-Hopf factorization and pricing lookbacks (Q2841327) (← links)
• Pricing barrier and Bermudan style options under time-changed Lévy processes: fast Hilbert transform approach (Q2878964) (← links)
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) (← links)
• On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
• A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (Q4586030) (← links)
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) (← links)
• Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
• Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) (← links)
• Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) (← links)
• Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
• Efficient pricing of swing options in Lévy-driven models (Q5397406) (← links)
• An Efficient, and Fast Convergent Algorithm for Barrier Options (Q5434444) (← links)
• Closed-form option pricing for exponential Lévy models: a residue approach (Q6158398) (← links)
• Applications of artificial neural networks to simulating Lévy processes (Q6187854) (← links)
• A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071) (← links)
• A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes (Q6552966) (← links)
• Barrier option pricing in regime switching models with rebates (Q6565539) (← links)
• Monte Carlo method for pricing lookback type options in Lévy models (Q6589448) (← links)
• Efficient evaluation of double-barrier options (Q6633865) (← links)
• The bilateral Gamma motion: calibration and option pricing (Q6643155) (← links)
• Universal Monte Carlo method for Lévy processes and their extrema (Q6645006) (← links)
• Fast calculation of integral convolution operators in problems of evaluating options in Lévy's models (Q6661387) (← links)