Efficient pricing of swing options in Lévy-driven models (Q5397406): Difference between revisions

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+https://doi.org/10.1080/14697688.2012.717708
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+W2039378239
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+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+Processes of normal inverse Gaussian type
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+Feller processes of normal inverse Gaussian type
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+Numerical methods for the pricing of swing options: a stochastic control approach
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+Maturity randomization for stochastic control problems
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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+American options: the EPV pricing model
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+American Options in Regime-Switching Models
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+Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+Randomization and the American Put
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Valuation of Commodity-Based Swing Options
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+A Jump-Diffusion Model for Option Pricing
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+Fast and accurate pricing of barrier options under Lévy processes
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+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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+The Variance Gamma Process and Option Pricing
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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