Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773): Difference between revisions

@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
+Normal rank
@@ Property / cites work @@
+A Unified Framework for Numerically Inverting Laplace Transforms
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Feller processes of normal inverse Gaussian type
@@ Property / cites work: Feller processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+American options: the EPV pricing model
@@ Property / cites work: American options: the EPV pricing model / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Q3549931
@@ Property / cites work: Q3549931 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING
+Normal rank
@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+An Inversion Technique for the Laplace Transform with Application to Approximation
+Normal rank
@@ Property / cites work @@
+An Inversion Technique for the Laplace Transform
@@ Property / cites work: An Inversion Technique for the Laplace Transform / rank @@
+Normal rank
@@ Property / cites work @@
+A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes
+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 @@
+First passage times of a jump diffusion process
@@ Property / cites work: First passage times of a jump diffusion process / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING OF FIRST TOUCH DIGITALS UNDER NORMAL INVERSE GAUSSIAN PROCESSES
+Normal rank
@@ Property / cites work @@
+Fast and accurate pricing of barrier options under Lévy processes
+Normal rank
@@ Property / cites work @@
+Finite difference methods for option pricing under Lévy processes: Wiener-Hopf factorization approach
+Normal rank
@@ Property / cites work @@
+Efficient pricing of swing options in Lévy-driven models
+Normal rank
@@ Property / cites work @@
+Perpetual options and Canadization through fluctuation theory
+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 @@
+Q5287558
@@ Property / cites work: Q5287558 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
+Normal rank
@@ Property / cites work @@
+Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
+Normal rank