Pages that link to "Item:Q4345917"

The following pages link to Option Pricing With V. G. Martingale Components¹ (Q4345917):

Displaying 40 items.

• Constant proportion portfolio insurance under a regime switching exponential Lévy process (Q2443230) (← links)
• Pricing average options under time-changed Lévy processes (Q2447509) (← links)
• A Lévy process-based framework for the fair valuation of participating life insurance contracts (Q2581775) (← links)
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
• Pricing CoCos with a Market Trigger (Q2801794) (← links)
• Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412) (← links)
• Lévy information and the aggregation of risk aversion (Q2831278) (← links)
• EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS (Q2841327) (← links)
• ON VALUATION WITH STOCHASTIC PROPORTIONAL HAZARD MODELS IN FINANCE (Q2841334) (← links)
• Riding on the smiles (Q2866376) (← links)
• Estimation methods for expected shortfall (Q2879025) (← links)
• LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS (Q2882691) (← links)
• OPTIMALITY OF PAYOFFS IN LÉVY MODELS (Q2929383) (← links)
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES (Q3008483) (← links)
• Reduce computation in profile empirical likelihood method (Q3087599) (← links)
• Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy (Q3088978) (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) (← links)
• DETERMINATION OF THE LÉVY EXPONENT IN ASSET PRICING MODELS (Q3121231) (← links)
• Rational term structure models with geometric Lévy martingales (Q3145086) (← links)
• The Double Pareto-Lognormal Distribution—A New Parametric Model for Size Distributions (Q3155351) (← links)
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
• Integrating Volatility Clustering Into Exponential Lévy Models (Q3182422) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS (Q3400131) (← links)
• Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes (Q3424322) (← links)
• A multivariate jump-driven financial asset model (Q3437395) (← links)
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities (Q3437403) (← links)
• SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
• Fitting the variance-gamma model to financial data (Q4822460) (← links)
• Realistic Statistical Modelling of Financial Data (Q4831974) (← links)
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521) (← links)
• EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION (Q4906526) (← links)
• Dam rain and cumulative gain (Q5072615) (← links)
• General theory of geometric Lévy models for dynamic asset pricing (Q5345963) (← links)
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS (Q5422628) (← links)
• HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
• Lévy models for collapse of the wave function (Q5880304) (← links)
• Robust willow tree method under Lévy processes (Q6098950) (← links)
• On the cumulant transforms for Hawkes processes (Q6159627) (← links)
• Extending the Merton model with applications to credit value adjustment (Q6165387) (← links)