Pages that link to "Item:Q99433"
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The following pages link to A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (Q99433):
Displaying 50 items.
- Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
- Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model (Q2097450) (← links)
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
- Multigrid method for pricing European options under the CGMY process (Q2126958) (← links)
- Estimating the time value of ruin in a Lévy risk model under low-frequency observation (Q2138620) (← links)
- Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (Q2155842) (← links)
- Asian options pricing in Hawkes-type jump-diffusion models (Q2174173) (← links)
- A Shannon wavelet method for pricing American options under two-factor stochastic volatilities and stochastic interest rate (Q2183282) (← links)
- Early exercise boundaries for American-style knock-out options (Q2183887) (← links)
- The Kolmogorov forward fractional partial differential equation for the CGMY-process with applications in option pricing (Q2203004) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
- Statistical estimation for some dividend problems under the compound Poisson risk model (Q2212164) (← links)
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection (Q2219586) (← links)
- Operator splitting schemes for the two-asset Merton jump-diffusion model (Q2223797) (← links)
- A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process (Q2230761) (← links)
- Equity-linked guaranteed minimum death benefits with dollar cost averaging (Q2234775) (← links)
- Finite-time dividend problems in a Lévy risk model under periodic observation (Q2242128) (← links)
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model (Q2242652) (← links)
- Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
- IMEX schemes for pricing options under jump-diffusion models (Q2250990) (← links)
- Peaks and jumps reconstruction with \(B\)-splines scaling functions (Q2253075) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model (Q2273896) (← links)
- Quantization meets Fourier: a new technology for pricing options (Q2288923) (← links)
- Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
- A realized volatility approach to option pricing with continuous and jump variance components (Q2292059) (← links)
- Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income (Q2296513) (← links)
- Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
- Uncertainty quantification and Heston model (Q2311188) (← links)
- Fourier-cosine method for Gerber-Shiu functions (Q2347108) (← links)
- What is beneath the surface? Option pricing with multifrequency latent states (Q2347726) (← links)
- Smile from the past: a general option pricing framework with multiple volatility and leverage components (Q2347728) (← links)
- Forward starting options pricing with double stochastic volatility, stochastic interest rates and double jumps (Q2359987) (← links)
- Calibration and simulation of Heston model (Q2364763) (← links)
- Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063) (← links)
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
- Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
- Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
- On the data-driven COS method (Q2422825) (← links)
- Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions (Q2437361) (← links)
- Pricing inflation products with stochastic volatility and stochastic interest rates (Q2442529) (← links)
- On contingent-claim valuation in continuous-time for volatility models of Ornstein-Uhlenbeck type (Q2511180) (← links)
- Fourier-cosine method for ruin probabilities (Q2515094) (← links)
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) (← links)
- Option pricing with Legendre polynomials (Q2628349) (← links)
- An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
