Robust willow tree method under Lévy processes (Q6098950): Difference between revisions

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+Option pricing when underlying stock returns are discontinuous
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+A Jump-Diffusion Model for Option Pricing
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+Stochastic Volatility for Lévy Processes
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+Pricing options on realized variance
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+The Variance Gamma Process and Option Pricing
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Processes of normal inverse Gaussian type
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+Finite-time dividend-ruin models
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+A new sampling strategy willow tree method with application to path-dependent option pricing
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+SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
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+RISK-BASED CAPITAL FOR VARIABLE ANNUITY UNDER STOCHASTIC INTEREST RATE
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+A General Valuation Framework for SABR and Stochastic Local Volatility Models
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