A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014): Difference between revisions

@@ Property / cites work @@
+Russian and American put options under exponential phase-type Lévy models.
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+On perpetual American put valuation and first-passage in a regime-switching model with jumps
+Normal rank
@@ Property / cites work @@
+Option Pricing With Markov-Modulated Dynamics
@@ Property / cites work: Option Pricing With Markov-Modulated Dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling growth stocks via birth-death processes
@@ Property / cites work: Modeling growth stocks via birth-death processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Boundary crossing probability for Brownian motion
@@ Property / cites work: Boundary crossing probability for Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
+Normal rank
@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
+Normal rank