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.
- Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market (Q2666233) (← links)
- A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
- Fractional factorial designs for Fourier-cosine models (Q2696333) (← links)
- BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
- Pricing Bermudan options under Merton jump-diffusion asset dynamics (Q2804498) (← links)
- Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model (Q2804505) (← links)
- CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK (Q2842534) (← links)
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
- The affine Heston model with correlated Gaussian interest rates for pricing hybrid derivatives (Q2866378) (← links)
- Extension of stochastic volatility equity models with the Hull–White interest rate process (Q2893077) (← links)
- FAST COMPUTATION OF VANILLA PRICES IN TIME-CHANGED MODELS AND IMPLIED VOLATILITIES USING RATIONAL APPROXIMATIONS (Q2909517) (← links)
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
- The COS Method for Pricing Options Under Uncertain Volatility (Q2920954) (← links)
- On the Fourier cosine series expansion method for stochastic control problems (Q2931526) (← links)
- THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
- An Efficient Transform Method for Asian Option Pricing (Q2953943) (← links)
- Pricing European Options Under Stochastic Volatilities Models (Q2960559) (← links)
- Pricing Options Under Stochastic Volatility with Fourier-Cosine Series Expansions (Q3007038) (← links)
- Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps (Q3174919) (← links)
- A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL (Q3304214) (← links)
- Implied Lévy volatility (Q3404095) (← links)
- A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options (Q3464429) (← links)
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk (Q4554240) (← links)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
- COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) (← links)
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
- Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
- On an efficient multiple time step Monte Carlo simulation of the SABR model (Q4555160) (← links)
- APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (Q4563791) (← links)
- QUANTO PRICING IN STOCHASTIC CORRELATION MODELS (Q4584705) (← links)
- Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model (Q4586033) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES (Q4608943) (← links)
- A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models (Q4610213) (← links)
- Modelling and Calibration of Stochastic Correlation in Finance (Q4626495) (← links)
- A Highly Efficient Numerical Method for the SABR Model (Q4626505) (← links)
- Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
- The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
- Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
- The Dynamic Correlation Model and Its Application to the Heston Model (Q4689924) (← links)
- NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542) (← links)
- AN IMPLIED VOLATILITY MODEL DETERMINED BY CREDIT DEFAULT SWAPS (Q4902545) (← links)
- EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (Q4903538) (← links)
- Pricing high-dimensional Bermudan options using the stochastic grid method (Q4903543) (← links)
- Fast exponential time integration scheme for option pricing with jumps (Q4909730) (← links)
