The following pages link to (Q4220653):
Displayed 48 items.
- On volatility smile and an investment strategy with out-of-the-money calls (Q253093) (← links)
- Modeling high-frequency non-homogeneous order flows by compound Cox processes (Q267623) (← links)
- Perpetual American options in diffusion-type models with running maxima and drawdowns (Q271879) (← links)
- On distribution-free goodness-of-fit testing of exponentiality (Q291097) (← links)
- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes (Q298830) (← links)
- Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas (Q340779) (← links)
- A note on functional limit theorems for compound Cox processes (Q341802) (← links)
- On exact pricing of FX options in multivariate time-changed Lévy models (Q345721) (← links)
- Solutions to BSDEs driven by both standard and fractional Brownian motions (Q350757) (← links)
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes (Q358131) (← links)
- On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes (Q398201) (← links)
- Optimal harvesting when the exchange rate is a semimartingale (Q413921) (← links)
- Stochastic averaging principle for dynamical systems with fractional Brownian motion (Q478249) (← links)
- Lower and upper bounds for prices of Asian-type options (Q492182) (← links)
- Convergence of insurance payout stochastic processes to generalized Poisson process (Q493862) (← links)
- Diffusion approximation for average investor's income with loss risk (Q493869) (← links)
- Stochastic behavioral models. Classification (Q508568) (← links)
- Gaussian mixture modelling to detect random walks in capital markets (Q597510) (← links)
- On continuous-time autoregressive fractionally integrated moving average processes (Q605852) (← links)
- Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering (Q613824) (← links)
- Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238) (← links)
- Option pricing and Esscher transform under regime switching (Q665552) (← links)
- On connections between stochastic differential inclusions and set-valued stochastic differential equations driven by semimartingales (Q729940) (← links)
- Bachelier model with stopping time and its insurance application (Q784430) (← links)
- Option pricing for log-symmetric distributions of returns (Q835680) (← links)
- The minimal entropy martingale measures for exponential additive processes (Q841854) (← links)
- Power variation of some integral fractional processes (Q850768) (← links)
- From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860) (← links)
- Call completeness implies completeness in the \(n\)-period model of a financial market (Q854278) (← links)
- A scalarization technique for computing the power and exponential moments of Gaussian random matrices (Q871347) (← links)
- Optimal stopping made easy (Q878006) (← links)
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing (Q889626) (← links)
- Asymptotic arbitrage and numéraire portfolios in large financial markets (Q928500) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- Quantum model for the price dynamics: The problem of smoothness of trajectories (Q933495) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
- A time-series approach to non-self-financing hedging in a discrete-time incomplete market (Q948840) (← links)
- The integral option in a model with jumps (Q952844) (← links)
- Binomial approximations of shortfall risk for game options (Q957516) (← links)
- Epi-convergent discretizations of multistage stochastic programs via integration quadratures (Q959951) (← links)
- Error estimates for binomial approximations of game options (Q997959) (← links)
- Some explicit Krein representations of certain subordinators, including the gamma process (Q998128) (← links)
- Bayesian parameter estimation and prediction in mean reverting stochastic diffusion models (Q1000051) (← links)
- Quantum probability and financial market (Q1010115) (← links)
- Computing option price for Lévy process with fuzzy parameters (Q1044156) (← links)
- Asymptotic inference in time series regressions with a unit root and infinite variance errors (Q1400136) (← links)
- New intermittencies in the chaotic synchronization of two coupled 1D arrays of phase oscillators (Q1607372) (← links)