Pages that link to "Item:Q5452379"
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The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):
Displaying 50 items.
- The Riccati system and a diffusion-type equation (Q401969) (← links)
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem (Q413322) (← links)
- Necessary conditions for optimal control of forward-backward stochastic systems with random jumps (Q413924) (← links)
- Evaluating pharmaceutical R\&D under technical and economic uncertainty (Q421539) (← links)
- Valuation of \(N\)-stage investments under jump-diffusion processes (Q429535) (← links)
- A finite element discretization method for option pricing with the Bates model (Q435146) (← links)
- Numerical simulations for the pricing of options in jump diffusion markets (Q442180) (← links)
- Tri-diagonal preconditioner for pricing options (Q442720) (← links)
- Numerical solutions of stochastic differential delay equations with Poisson random measure under the generalized Khasminskii-type conditions (Q448585) (← links)
- Local \(M\)-estimation for jump-diffusion processes (Q449381) (← links)
- Nonparametric tests for pathwise properties of semimartingales (Q453304) (← links)
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem (Q453330) (← links)
- Confidence sets in nonparametric calibration of exponential Lévy models (Q457186) (← links)
- Simulated likelihood inference for stochastic volatility models using continuous particle filtering (Q457263) (← links)
- Option pricing under risk-minimization criterion in an incomplete market with the finite difference method (Q460210) (← links)
- Stability of an implicit method to evaluate option prices under local volatility with jumps (Q465116) (← links)
- Hermite polynomial based expansion of European option prices (Q469560) (← links)
- Variance trading and market price of variance risk (Q469575) (← links)
- On the distribution of first exit time for Brownian motion with double linear time-dependent barriers (Q469885) (← links)
- First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
- Time-varying jump tails (Q473227) (← links)
- Convex ordering criteria for Lévy processes (Q477990) (← links)
- Medium-term planning for thermal electricity production (Q480763) (← links)
- Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) (← links)
- Telegraph processes with random jumps and complete market models (Q496959) (← links)
- A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications (Q499268) (← links)
- Fast numerical valuation of options with jump under Merton's model (Q507854) (← links)
- A superconvergent partial differential equation approach to price variance swaps under regime switching models (Q507897) (← links)
- A Monte Carlo multi-asset option pricing approximation for general stochastic processes (Q508289) (← links)
- Stochastic idiosyncratic cash flow risk and real options: implications for stock returns (Q508411) (← links)
- Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method (Q512310) (← links)
- Testing for non-correlation between price and volatility jumps (Q515135) (← links)
- A delayed stochastic volatility correction to the constant elasticity of variance model (Q517196) (← links)
- Jump tails, extreme dependencies, and the distribution of stock returns (Q528157) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- An efficient numerical method for pricing option under jump diffusion model (Q531075) (← links)
- Robust portfolio optimization with derivative insurance guarantees (Q531475) (← links)
- An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
- Pricing variance swaps for stochastic volatilities with delay and jumps (Q538918) (← links)
- Tractable hedging with additional hedge instruments (Q539149) (← links)
- Equilibrium preference free pricing of derivatives under the generalized beta distributions (Q541594) (← links)
- VaR: exchange rate risk and jump risk (Q544463) (← links)
- Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale (Q548107) (← links)
- Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169) (← links)
- On properties of continuous-time random walks with non-Poissonian jump-times (Q603440) (← links)
- Is Brownian motion necessary to model high-frequency data? (Q605940) (← links)
- Coefficients of asymptotic expansions of SDE with jumps (Q607565) (← links)
