Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing (Q1624661): Difference between revisions

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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+A REGULARIZED FOURIER TRANSFORM APPROACH FOR VALUING OPTIONS UNDER STOCHASTIC DIVIDEND YIELDS
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+Efficient Options Pricing Using the Fast Fourier Transform
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+A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
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+A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options
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+FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
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+Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
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+Pricing extendible options using the fast Fourier transform
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+Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+Analyticity of the Wiener–Hopf Factors and Valuation of Exotic Options in Lévy Models
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+Optimal stopping and perpetual options for Lévy processes
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+Perpetual American Options Under Lévy Processes
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+A fast Fourier transform technique for pricing American options under stochastic volatility
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+American option pricing problem transformed on finite interval
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+Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options
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+On the price of risk under a regime switching CGMY process
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+Gradient estimates of harmonic functions and transition densities for Lévy processes
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+Characteristic function of time-inhomogeneous Lévy-driven Ornstein-Uhlenbeck processes
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+Default prediction with the Merton-type structural model based on the NIG Lévy process
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+American option valuation under time changed tempered stable Lévy processes
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+Saddlepoint approximations to option price in a regime-switching model
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+Saddlepoint methods for option pricing
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+Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators
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+Saddlepoint approximations for subordinator processes
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+Saddlepoint Approximations in Statistics
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+Saddlepoint approximations for continuous-time Markov processes
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+Properties of multinomial lattices with cumulants for option pricing and hedging
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+Q129502475
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