Pages that link to "Item:Q2461281"
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The following pages link to Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281):
Displayed 22 items.
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Jump-adapted discretization schemes for Lévy-driven SDEs (Q607278) (← links)
- On the jump activity index for semimartingales (Q738115) (← links)
- Fast and accurate pricing of barrier options under Lévy processes (Q964690) (← links)
- Asymmetric non-Gaussian effects in a tumor growth model with immunization (Q1632956) (← links)
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
- The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) (← links)
- Clustering of financial instruments using jump tail dependence coefficient (Q2324271) (← links)
- Lévy CARMA models for shocks in mortality (Q2331010) (← links)
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)
- Numerical algorithms for mean exit time and escape probability of stochastic systems with asymmetric Lévy motion (Q2335686) (← links)
- Classification of Lévy Processes with Parabolic Kolmogorov Backward Equations (Q2821763) (← links)
- LOOKBACK OPTION PRICES UNDER A SPECTRALLY NEGATIVE TEMPERED-STABLE MODEL (Q2841328) (← links)
- Unbiased Simulation of Distributions with Explicitly Known Integral Transforms (Q2957032) (← links)
- Optimal simulation schemes for Lévy driven stochastic differential equations (Q3189423) (← links)
- Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime (Q5014187) (← links)
- Most probable dynamics of stochastic dynamical systems with exponentially light jump fluctuations (Q5119474) (← links)
- Numerical Methods for SPDEs with Tempered Stable Processes (Q5254701) (← links)
- Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225) (← links)
- A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071) (← links)