Pages that link to "Item:Q3064014"

The following pages link to A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014):

Displaying 12 items.

• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• Robust pricing and hedging of double no-touch options (Q483935) (← links)
• Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
• Lookback option pricing for regime-switching jump diffusion models (Q888789) (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Barrier style contracts under Lévy processes once again (Q1744875) (← links)
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) (← links)
• METHOD OF MOMENTS APPROACH TO PRICING DOUBLE BARRIER CONTRACTS IN POLYNOMIAL JUMP-DIFFUSION MODELS (Q3107935) (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) (← links)
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521) (← links)