Pricing approximations and error estimates for local Lévy-type models with default (Q2006127): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4331490 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerical valuation of options with jumps in the underlying / rank
 
Normal rank
Property / cites work
 
Property / cites work: Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust numerical methods for contingent claims under jump diffusion processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Smart expansion and fast calibration for jump diffusions / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Smile of Certain Lévy-Type Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adjoint Expansions in Local Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A family of density expansions for Lévy-type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical Expansions for Parabolic Equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for $$d$$ -Dimensional Lévy-Type Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A jump to default extended CEV model: an application of Bessel processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing vulnerable claims in a Lévy-driven model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: PDE and martingale methods in option pricing. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4272982 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to make Dupire’s local volatility work with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2772170 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4942767 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels / rank
 
Normal rank
Property / cites work
 
Property / cites work: Processes of normal inverse Gaussian type / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3150773 / rank
 
Normal rank
Property / cites work
 
Property / cites work: TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5520962 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5713276 / rank
 
Normal rank

Latest revision as of 19:30, 23 July 2024

scientific article
Language Label Description Also known as
English
Pricing approximations and error estimates for local Lévy-type models with default
scientific article

    Statements

    Pricing approximations and error estimates for local Lévy-type models with default (English)
    0 references
    0 references
    0 references
    0 references
    8 October 2020
    0 references
    partial integro-differential equation
    0 references
    asymptotic expansion
    0 references
    pseudo-differential calculus
    0 references
    option pricing
    0 references
    Lévy-type process
    0 references
    defaultable asset
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references