Pages that link to "Item:Q375333"
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The following pages link to Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing (Q375333):
Displaying 50 items.
- Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Deformed exponentials and applications to finance (Q280540) (← links)
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
- Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
- Calibration and hedging under jump diffusion (Q375525) (← links)
- A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
- Local volatility of volatility for the VIX market (Q385648) (← links)
- Solutions to integro-differential problems arising on pricing options in a Lévy market (Q411469) (← links)
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
- Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
- An efficient numerical method for pricing option under jump diffusion model (Q531075) (← links)
- An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
- The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
- A spectral element method to price European options. I. Single asset with and without jump diffusion (Q618463) (← links)
- Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q641552) (← links)
- Solutions to an integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q660712) (← links)
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
- Maximum likelihood estimation of the double exponential jump-diffusion process (Q665791) (← links)
- An approximation of small-time probability density functions in a general jump diffusion model (Q668543) (← links)
- Option pricing in jump diffusion models with quadratic spline collocation (Q671091) (← links)
- Spherical harmonics applied to differential and integro-differential equations arising in mathematical finance (Q691357) (← links)
- No-arbitrage interpolation of the option price function and its reformulation (Q704745) (← links)
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory (Q704796) (← links)
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
- A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
- Stochastic differential equations with diffusion and jumps modeling currency markets (Q845088) (← links)
- Lookback option pricing for regime-switching jump diffusion models (Q888789) (← links)
- Second order accurate IMEX methods for option pricing under Merton and Kou jump-diffusion models (Q897123) (← links)
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
- Numerical solution of two asset jump diffusion models for option valuation (Q928833) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- The effect of modelling parameters on the value of GMWB guarantees (Q938050) (← links)
- Exponential time integration and Chebychev discretisation schemes for fast pricing of options (Q941609) (← links)
- Pricing options under jump diffusion processes with fitted finite volume method (Q945264) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- Pricing American options when asset prices jump (Q969504) (← links)
- Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) (← links)
- Implicit-explicit numerical schemes for jump-diffusion processes (Q997571) (← links)
- A computational scheme for uncertain volatility model in option pricing (Q1030664) (← links)
- Shape-preserving interpolation and smoothing for options market implied volatility (Q1035911) (← links)
- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217) (← links)
