Pages that link to "Item:Q986029"
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The following pages link to PDE and martingale methods in option pricing. (Q986029):
Displaying 50 items.
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Kolmogorov-Fokker-Planck equations: comparison principles near Lipschitz type boundaries (Q290566) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model (Q328079) (← links)
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem (Q394918) (← links)
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548) (← links)
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- A very efficient approach for pricing barrier options on an underlying described by the mixed fractional Brownian motion (Q508259) (← links)
- Market attention and Bitcoin price modeling: theory, estimation and option pricing (Q777928) (← links)
- Banach geometry of arbitrage free markets (Q830200) (← links)
- Dynamic credit investment in partially observed markets (Q889624) (← links)
- Intrinsic Taylor formula for Kolmogorov-type homogeneous groups (Q898831) (← links)
- Option pricing with linear market impact and nonlinear Black-Scholes equations (Q1617139) (← links)
- Option pricing in a regime switching stochastic volatility model (Q1642260) (← links)
- Mathematical analysis of obstacle problems for pricing fixed-rate mortgages with prepayment and default options (Q1681008) (← links)
- Nash estimates and upper bounds for non-homogeneous Kolmogorov equations (Q1681863) (← links)
- Pricing of mortgages with prepayment and default options: numerical methods for the case with adjustable (floating) rate (Q1706706) (← links)
- Optimal investment and reinsurance for insurers with uncertain time-horizon (Q1718017) (← links)
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance (Q1732239) (← links)
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
- PDE models and numerical methods for total value adjustment in European and American options with counterparty risk (Q1738076) (← links)
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
- Path integral pricing of outside barrier Asian options (Q1782519) (← links)
- Path integral pricing of wasabi option in the Black-Scholes model (Q1783050) (← links)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
- Analytical solutions for stochastic differential equations via martingale processes (Q1992167) (← links)
- Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
- Removing the correlation term in option pricing Heston model: numerical analysis and computing (Q2015262) (← links)
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model (Q2018495) (← links)
- Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients (Q2021529) (← links)
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
- On stochastic Langevin and Fokker-Planck equations: the two-dimensional case (Q2064317) (← links)
- On the domain of non-symmetric and, possibly, degenerate Ornstein-Uhlenbeck operators in separable Banach spaces (Q2083984) (← links)
- How to handle negative interest rates in a CIR framework (Q2101691) (← links)
- Schauder type estimates for degenerate Kolmogorov equations with Dini continuous coefficients (Q2128882) (← links)
- Spatial regularity for a class of degenerate Kolmogorov equations (Q2147972) (← links)
- Quantile hedging in models with dividends and application to equity-linked life insurance contracts (Q2175459) (← links)
- Local densities for a class of degenerate diffusions (Q2179637) (← links)
- On solvability of integro-differential equations (Q2234498) (← links)
- Total value adjustment for European options in a multi-currency setting (Q2246492) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions (Q2272330) (← links)
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options (Q2274018) (← links)
- Moser's estimates for degenerate Kolmogorov equations with non-negative divergence lower order coefficients (Q2278481) (← links)
- A new mathematical model for pricing a mine extraction project (Q2286643) (← links)
- Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation (Q2334884) (← links)
- A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing (Q2349735) (← links)
- Pricing pension plans under jump-diffusion models for the salary (Q2400705) (← links)
