Pages that link to "Item:Q5320682"
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The following pages link to A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (Q5320682):
Displayed 50 items.
- Pricing exotic derivatives exploiting structure (Q299917) (← links)
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
- Fourier transform of lookback option price (Q420203) (← links)
- A numerical method to estimate the parameters of the CEV model implied by American option prices: evidence from NYSE (Q508291) (← links)
- A fast numerical method to price American options under the Bates model (Q516683) (← links)
- A convolution method for numerical solution of backward stochastic differential equations (Q518855) (← 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 posteriori error analysis for a class of integral equations and variational inequalities (Q707582) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- On coordinate transformation and grid stretching for sparse grid pricing of basket options (Q952093) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) (← links)
- American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
- Chebyshev interpolation for parametric option pricing (Q1650947) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- Fast and accurate calculation of American option prices (Q1715613) (← links)
- RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
- Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549) (← links)
- An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
- Computation of powered option prices under a general model for underlying asset dynamics (Q2074891) (← links)
- Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
- A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
- Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
- An RBF-FD method for pricing American options under jump-diffusion models (Q2203013) (← links)
- Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process (Q2229844) (← links)
- Neural network regression for Bermudan option pricing (Q2239248) (← links)
- Optimal importance sampling for Lévy processes (Q2289777) (← links)
- Pricing of options in the singular perturbed stochastic volatility model (Q2400320) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- Option pricing with Legendre polynomials (Q2628349) (← links)
- A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
- A finite elements approach for spread contract valuation via associated two-dimensional PIDE (Q2685272) (← links)
- VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS (Q2862511) (← links)
- <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
- ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470) (← links)
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
- Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
- DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) (← links)
- Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) (← links)
- COMPLEX LOGARITHMS IN HESTON-LIKE MODELS (Q3161742) (← links)
- An improved convolution algorithm for discretely sampled Asian options (Q3169216) (← links)
- Valuation of American options under the CGMY model (Q4554225) (← links)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
- Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)