Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896): Difference between revisions

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+Processes of normal inverse Gaussian type
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+Feller processes of normal inverse Gaussian type
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Credit risk: Modelling, valuation and hedging
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+DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
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+PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
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+PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
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+Application of the Fast Gauss Transform to Option Pricing
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+A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options
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+Financial Modelling with Jump Processes
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+A fast algorithm for computing integrals in function spaces: Financial applications
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
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+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
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+A Jump-Diffusion Model for Option Pricing
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+First passage times of a jump diffusion process
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+Fast and accurate pricing of barrier options under Lévy processes
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+Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier
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+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
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+EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
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+Option pricing when underlying stock returns are discontinuous
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