Pages that link to "Item:Q2271604"

The following pages link to Saddlepoint approximations for affine jump-diffusion models (Q2271604):

Displaying 10 items.

• Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
• Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
• Estimation of a CIR process with jumps using a closed form approximation likelihood under a strong approximation of order 1 (Q2032212) (← links)
• Option pricing under two-factor stochastic volatility jump-diffusion model (Q2210266) (← links)
• Risk adjustments of option prices under time-changed dynamics (Q2879017) (← links)
• Consistent Pricing of Options on Leveraged ETFs (Q2941473) (← links)
• Affine Point Processes: Approximation and Efficient Simulation (Q3465933) (← links)
• Orthogonal expansions for VIX options under affine jump diffusions (Q4554474) (← links)
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
• Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225) (← links)