Pages that link to "Item:Q1305424"
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The following pages link to Pricing contingent claims on stocks driven by Lévy processes (Q1305424):
Displaying 50 items.
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
- It's not now or never: implications of investment timing and risk aversion on climate adaptation to extreme events (Q323263) (← links)
- A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
- Optimal stopping problems for the maximum process with upper and lower caps (Q389066) (← links)
- Reviewing alternative characterizations of Meixner process (Q431510) (← links)
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- Tri-diagonal preconditioner for pricing options (Q442720) (← links)
- Risk-minimizing option pricing under a Markov-modulated jump-diffusion model with stochastic volatility (Q451153) (← links)
- Backward stochastic differential equations approach to hedging, option pricing, and insurance problems (Q462406) (← links)
- First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
- Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes (Q483702) (← links)
- Entry-exit decisions with underlying processes following geometric Lévy processes (Q511983) (← links)
- Option pricing under a gamma-modulated diffusion process (Q645515) (← links)
- Esscher transforms and consumption-based models (Q659151) (← links)
- On the construction of optimal payoffs (Q777925) (← links)
- Options with constant underlying elasticity in strikes (Q812141) (← links)
- Comparison of option prices in semimartingale models (Q854274) (← links)
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models (Q862208) (← links)
- Asian options with jumps (Q866600) (← links)
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858) (← links)
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market (Q931211) (← links)
- GARCH option pricing: A semiparametric approach (Q938035) (← links)
- On option pricing under a completely random measure via a generalized Esscher transform (Q938038) (← links)
- Efficient solution of a partial integro-differential equation in finance (Q952815) (← links)
- Nonlinear stochastic integrals for hyperfinite Lévy processes (Q1000867) (← links)
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model (Q1003336) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options (Q1431556) (← links)
- Stochastic calculus for assets with non-Gaussian price fluctuations (Q1606132) (← links)
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions (Q1611155) (← links)
- Existence and stability of solutions to non-Lipschitz stochastic differential equations driven by Lévy noise (Q1663599) (← links)
- European option pricing with transaction costs in Lévy jump environment (Q1724293) (← links)
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. (Q1766027) (← links)
- Continuous dependence estimates for viscosity solutions of integro-PDEs (Q1779287) (← links)
- Minimal martingale measures for discrete-time incomplete financial markets (Q1862954) (← links)
- A spectral estimation of tempered stable stochastic volatility models and option pricing (Q1927145) (← links)
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment (Q1932549) (← links)
- Locally risk-minimizing hedging strategies for unit-linked life insurance contracts under a regime switching Lévy model (Q1946954) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Extracting market information from equity options with exponential Lévy processes (Q1994305) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering (Q2086919) (← links)
- Optimal equivalent probability measures under enlarged filtrations (Q2278882) (← links)
- Equilibrium asset and option pricing under jump-diffusion model with stochastic volatility (Q2319098) (← links)
- Valuation of an option using non-parametric methods (Q2328782) (← links)
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model (Q2343569) (← links)
- Cost-efficiency in multivariate Lévy models (Q2351198) (← links)
- Option pricing for symmetric Lévy returns with applications (Q2398586) (← links)
- A capped optimal stopping problem for the maximum process (Q2439470) (← links)
