Pages that link to "Item:Q2656684"

The following pages link to A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684):

Displaying 9 items.

• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Analytical and numerical solutions to ergodic control problems arising in environmental management (Q6066349) (← links)
• Finite-time expected present value of operating costs until ruin in a Cox risk model with periodic observation (Q6106004) (← links)