Pages that link to "Item:Q322636"

The following pages link to Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636):

Displayed 33 items.

• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) ‎ (← links)
• Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) ‎ (← links)
• An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) ‎ (← links)
• Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) ‎ (← links)
• Full and fast calibration of the Heston stochastic volatility model (Q1694942) ‎ (← links)
• On the calibration of the 3/2 model (Q1734372) ‎ (← links)
• The risk premium that never was: a fair value explanation of the volatility spread (Q1754048) ‎ (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) ‎ (← links)
• A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) ‎ (← links)
• Integrated structural approach to credit value adjustment (Q1991244) ‎ (← links)
• Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) ‎ (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) ‎ (← links)
• A general control variate method for Lévy models in finance (Q2178156) ‎ (← links)
• Early exercise boundaries for American-style knock-out options (Q2183887) ‎ (← links)
• A numerical method for pricing discrete double barrier option by Chebyshev polynomials (Q2184388) ‎ (← links)
• A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) ‎ (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) ‎ (← links)
• American step options (Q2282524) ‎ (← links)
• On double-boundary non-crossing probability for a class of compound processes with applications (Q2282550) ‎ (← links)
• VIX derivatives, hedging and vol-of-vol risk (Q2286994) ‎ (← links)
• Hilbert transform, spectral filters and option pricing (Q2288941) ‎ (← links)
• Efficient and fast numerical method for pricing discrete double barrier option by projection method (Q2401999) ‎ (← links)
• An iterative splitting method for pricing European options under the Heston model (Q2660110) ‎ (← links)
• Fourier based methods for the management of complex life insurance products (Q2665862) ‎ (← links)
• Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) ‎ (← links)
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) ‎ (← links)
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) ‎ (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) ‎ (← links)
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) ‎ (← links)
• Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) ‎ (← links)
• Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) ‎ (← links)
• AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) ‎ (← links)
• A general approach for lookback option pricing under Markov models (Q6053112) ‎ (← links)