NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542): Difference between revisions

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-Zhen-Yu Cui
@@ Property / author: Zhen-Yu Cui / rank @@
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@@ Property / author: Zhen-Yu Cui / rank @@
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+Numerical Inversion of Laplace Transforms of Probability Distributions
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+FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
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+Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps
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+Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process<sup>1</sup>
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+Performance regularity: a new class of executive compensation packages
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+A Continuity Correction for Discrete Barrier Options
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+Saddlepoint methods for option pricing
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+Brownian Excursions and Parisian Barrier Options
@@ Property / cites work: Brownian Excursions and Parisian Barrier Options / rank @@
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+A Theory of the Term Structure of Interest Rates
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Remarks on algorithm 006: An adaptive algorithm for numerical integration over an N-dimensional rectangular region
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+Q4433608
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+Fourier space time-stepping for option pricing with Lévy models
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+On the pricing of forward starting options in Heston's model on stochastic volatility
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+PRICING DOUBLE BARRIER PARISIAN OPTIONS USING LAPLACE TRANSFORMS
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+On coordinate transformation and grid stretching for sparse grid pricing of basket options
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+Q4942767
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+COMPLEX LOGARITHMS IN HESTON-LIKE MODELS
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+Q3426055
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+Q5516901
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@@ Property / cites work @@
+EFFICIENT, ALMOST EXACT SIMULATION OF THE HESTON STOCHASTIC VOLATILITY MODEL
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@@ Property / cites work @@
+Generic pricing of FX, inflation and stock options under stochastic interest rates and stochastic volatility
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms Using Laguerre Functions
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+https://doi.org/10.1142/s0219024912500471
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+W3123346882
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+Publication:4902542