Pages that link to "Item:Q1958501"

The following pages link to Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes (Q1958501):

Displaying 40 items.

• Approximating Lévy processes with completely monotone jumps (Q259581) (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• Suprema of Lévy processes (Q373557) (← links)
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps (Q432503) (← links)
• Meromorphic Lévy processes and their fluctuation identities (Q433907) (← links)
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes (Q657695) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• The \(\beta\)-Meixner model (Q765298) (← links)
• Weak reflection principle for Lévy processes (Q894806) (← links)
• On the joint distribution of the supremum functional and its last occurrence for subordinated linear Brownian motion (Q900549) (← links)
• On the depletion problem for an insurance risk process: new non-ruin quantities in collective risk theory (Q903681) (← links)
• Exact and asymptotic \(n\)-tuple laws at first and last passage (Q968775) (← links)
• Martingales in self-similar growth-fragmentations and their connections with random planar maps (Q1626615) (← links)
• Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540) (← links)
• Zooming in on a Lévy process at its supremum (Q1650094) (← links)
• Efficient computation of first passage times in Kou's jump-diffusion model (Q1707057) (← links)
• Asian options and meromorphic Lévy processes (Q2255010) (← links)
• A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes (Q2347464) (← links)
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751) (← links)
• Numerical techniques in Lévy fluctuation theory (Q2445476) (← links)
• Fluctuation theory for Lévy processes with completely monotone jumps (Q2631866) (← links)
• Positive self-similar Markov processes obtained by resurrection (Q2680401) (← links)
• An Euler–Poisson scheme for Lévy driven stochastic differential equations (Q2804429) (← links)
• A weak approximation for the Wiener–Hopf factorization (Q2813510) (← links)
• Inventory Control for Spectrally Positive Lévy Demand Processes (Q2976149) (← links)
• Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions (Q3067843) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• Computing the finite-time expected discounted penalty function for a family of Lévy risk processes (Q4576834) (← links)
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
• Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method (Q4683049) (← links)
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380) (← links)
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
• Entrance laws at the origin of self-similar Markov processes in high dimensions (Q5125171) (← links)
• The distribution and asympotic behaviour of the negative Wiener–Hopf factor for Lévy processes with rational positive jumps (Q5205944) (← links)
• Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) (← links)
• The extended hypergeometric class of Lévy processes (Q5245638) (← links)
• ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs (Q5357515) (← links)
• SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (Q5377002) (← links)
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation (Q5965372) (← links)