A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464): Difference between revisions

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-.1016/j.spa.2015.03.003
@@ Property / DOI: 10.1016/j.spa.2015.03.003 / rank @@
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+.4534
@@ Property / arXiv ID: 1304.4534 / rank @@
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@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+Russian and American put options under exponential phase-type Lévy models.
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+Feller processes of normal inverse Gaussian type
@@ Property / cites work: Feller processes of normal inverse Gaussian type / rank @@
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+Q4888858
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+Stochastic Integration with Jumps
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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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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+American options: the EPV pricing model
@@ Property / cites work: American options: the EPV pricing model / rank @@
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+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
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+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+Q4368791
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+A Jump-Diffusion Model for Option Pricing
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+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
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+Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
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+Meromorphic Lévy processes and their fluctuation identities
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+A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Exercise boundary of the American put near maturity in an exponential Lévy model
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+A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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+Wavelet Galerkin pricing of American options on Lévy driven assets
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+Optimal stopping for a diffusion with jumps
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+Optimal stopping and perpetual options for Lévy processes
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+Q3579593
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+Q3378055
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+Q4937701
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+VOTRE LÉVY RAMPE-T-IL?
@@ Property / cites work: VOTRE LÉVY RAMPE-T-IL? / rank @@
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@@ Property / DOI @@
+.1016/J.SPA.2015.03.003
@@ Property / DOI: 10.1016/J.SPA.2015.03.003 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2347464