Pages that link to "Item:Q3114712"

The following pages link to Pricing and Hedging Path-Dependent Options Under the CEV Process (Q3114712):

Displaying 50 items.

• Pricing exotic derivatives exploiting structure (Q299917) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991) (← links)
• Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
• Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
• On a free boundary problem for an American put option under the CEV process (Q533479) (← links)
• Valuing American options under the CEV model by Laplace-Carson transforms (Q613360) (← links)
• Asymptotic option pricing under the CEV diffusion (Q615913) (← links)
• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time (Q645596) (← links)
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (Q659085) (← links)
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
• Constant elasticity of variance model for proportional reinsurance and investment strategies (Q661201) (← links)
• On the martingale property of certain local martingales (Q664349) (← links)
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing. (Q703247) (← links)
• Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
• Liquidation risk in insurance under contemporary regulatory frameworks (Q784414) (← links)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
• A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
• On pricing lookback options under the CEV process (Q882493) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• Constant elasticity of variance model and analytical strategies for annuity contracts (Q940151) (← links)
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts (Q995510) (← links)
• Option pricing with mean reversion and stochastic volatility (Q1011280) (← links)
• Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
• Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
• Optimal portfolios for DC pension plans under a CEV model (Q1023114) (← links)
• Computationally simple lattice methods for option and bond pricing (Q1037392) (← links)
• Volatility smile as relativistic effect (Q1620616) (← links)
• On the multiplicity of option prices under CEV with positive elasticity of variance (Q1621639) (← links)
• A multiquadric quasi-interpolations method for CEV option pricing model (Q1631408) (← links)
• Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
• Reaching nirvana with a defaultable asset? (Q1693840) (← links)
• Fast Laplace transform methods for free-boundary problems of fractional diffusion equations (Q1703050) (← links)
• The \textit{CEV} model and its application in a study of optimal investment strategy (Q1718118) (← links)
• Continuous-time mean-variance portfolio selection under the CEV process (Q1723934) (← links)
• Turbo warrants under hybrid stochastic and local volatility (Q1724051) (← links)
• Laplace transform method for pricing American CEV strangles option with two free boundaries (Q1727172) (← links)
• Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248) (← links)
• Pricing volatility derivatives under the modified constant elasticity of variance model (Q1785394) (← links)
• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process (Q1786355) (← links)
• Numerical methods for pricing American options with time-fractional PDE models (Q1793314) (← links)
• Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance (Q1799638) (← links)
• Revisiting corporate growth options in the presence of state-dependent cashflow risk (Q1926736) (← links)
• Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options (Q2019607) (← links)
• Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Constant elasticity of variance models with target zones (Q2164570) (← links)