Pages that link to "Item:Q1655511"

The following pages link to A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511):

Displayed 40 items.

• A general framework for time-changed Markov processes and applications (Q1622827) ‎ (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) ‎ (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) ‎ (← links)
• A data-driven framework for consistent financial valuation and risk measurement (Q2028832) ‎ (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) ‎ (← links)
• Pricing American drawdown options under Markov models (Q2030371) ‎ (← links)
• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) ‎ (← links)
• Recursive approximating to the finite-time Gerber-Shiu function in Lévy risk models under periodic observation (Q2050919) ‎ (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) ‎ (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) ‎ (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) ‎ (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) ‎ (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) ‎ (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) ‎ (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) ‎ (← links)
• Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection (Q2219586) ‎ (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) ‎ (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) ‎ (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) ‎ (← links)
• Valuing equity-linked death benefits in general exponential Lévy models (Q2332688) ‎ (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) ‎ (← links)
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) ‎ (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) ‎ (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) ‎ (← links)
• A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY (Q4571700) ‎ (← links)
• A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) ‎ (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) ‎ (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) ‎ (← links)
• Pricing double volatility barriers option under stochastic volatility (Q5086643) ‎ (← links)
• Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions (Q5106348) ‎ (← links)
• SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) ‎ (← links)
• NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY (Q5221310) ‎ (← links)
• ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS (Q5221481) ‎ (← links)
• Computing the Gerber–Shiu function by frame duality projection (Q5743539) ‎ (← links)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) ‎ (← links)
• Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method (Q6058844) ‎ (← links)
• Valuation of general GMWB annuities in a low interest rate environment (Q6072272) ‎ (← links)
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) ‎ (← links)
• Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk (Q6126076) ‎ (← links)
• Valuation of variable annuities under stochastic volatility and stochastic jump intensity (Q6169665) ‎ (← links)