Pages that link to "Item:Q3166714"
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The following pages link to FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714):
Displaying 15 items.
- On a transform method for the efficient computation of conditional V\@R (and V\@R) with application to loss models with jumps and stochastic volatility (Q292380) (← links)
- Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing (Q1624661) (← links)
- A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models (Q1993643) (← links)
- Numerical schemes for pricing Asian options under state-dependent regime-switching jump-diffusion models (Q2006622) (← links)
- Pricing of volatility derivatives in a Heston-CIR model with Markov-modulated jump diffusion (Q2020534) (← links)
- Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
- A spectral element method for option pricing under regime-switching with jumps (Q2189667) (← links)
- A regime switching fractional Black-Scholes model and European option pricing (Q2204497) (← links)
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
- Variance swap pricing under Markov-modulated jump-diffusion model (Q2657462) (← links)
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130) (← links)
- A tree approach to options pricing under regime-switching jump diffusion models (Q2804506) (← links)
- RANDOM TIME FORWARD-STARTING OPTIONS (Q2953302) (← links)
- Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
- Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) (← links)
