Pages that link to "Item:Q5890188"

The following pages link to On the rate of convergence of discrete-time contingent claims. (Q5890188):

Displaying 50 items.

• On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
• Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes (Q298749) (← links)
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model (Q340805) (← links)
• The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees? (Q503509) (← links)
• An efficient and accurate lattice for pricing derivatives under a jump-diffusion process (Q613244) (← links)
• An artificial boundary method for the Hull-White model of American interest rate derivatives (Q621011) (← links)
• Utility indifference valuation for jump risky assets (Q651335) (← links)
• Risk measure pricing and hedging in incomplete markets (Q665707) (← links)
• From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
• Risk measure pricing and hedging in the presence of transaction costs (Q874350) (← links)
• Characterisation of optimal dual measures via distortion (Q882491) (← links)
• An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
• A fast high-order finite difference algorithm for pricing American options (Q952074) (← links)
• Adaptive \(\theta \)-methods for pricing American options (Q952094) (← links)
• Numerical methods for Lévy processes (Q964687) (← links)
• Stochastic control methods: Hedging in a market described by pure jump processes (Q983684) (← links)
• Improving speed of convergence for the prices of European options in binomial trees with even numbers of steps (Q984281) (← links)
• A probabilistic interpretation of the \(\theta\)-method. (Q1423251) (← links)
• Modified B-spline collocation approach for pricing American style Asian options (Q1674181) (← links)
• Maximum entropy distributions inferred from option portfolios on an asset (Q1761445) (← links)
• Arbitrage and completeness in financial markets with given \(N\)-dimensional distributions (Q1762864) (← links)
• Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff (Q1770204) (← links)
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model (Q1926230) (← links)
• Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk (Q1934414) (← links)
• Accounting for risk aversion in derivatives purchase timing (Q1938997) (← links)
• Utility indifference hedging with exponential additive processes (Q1959132) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Q2038277) (← links)
• Valuing American-style options under the CEV model: an integral representation based method (Q2180299) (← links)
• Optimal equivalent probability measures under enlarged filtrations (Q2278882) (← links)
• A radial basis function -- Hermite finite difference approach to tackle cash-or-nothing and asset-or-nothing options (Q2291997) (← links)
• Pricing American options using a nonparametric entropy approach (Q2321382) (← links)
• A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (Q2331013) (← links)
• The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process (Q2355530) (← links)
• Optimal convergence rate of the explicit finite difference scheme for American option valuation (Q2390004) (← links)
• Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
• Numerical solution of generalized Black-Scholes model (Q2423065) (← links)
• Smooth convergence in the binomial model (Q2463704) (← links)
• A comparison of option prices under different pricing measures in a stochastic volatility model with correlation (Q2490448) (← links)
• The weak convergence of Greek symbols for prices of European options: from discrete time to continuous (Q2786948) (← links)
• Rate of convergence of option prices by using the method of pseudomoments (Q2817056) (← links)
• Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets (Q2960466) (← links)
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process (Q3459007) (← links)
• Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)
• SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH (Q4562955) (← links)
• GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS (Q4563781) (← links)
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods (Q4572020) (← links)
• Pricing European options with stochastic volatility under the minimal entropy martingale measure (Q4594578) (← links)
• Valuing Bermudan options when asset returns are Lévy processes (Q4647599) (← links)