Pages that link to "Item:Q3563689"

The following pages link to A Fourier Transform Method for Spread Option Pricing (Q3563689):

Displaying 50 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Commodity derivatives pricing with cointegration and stochastic covariances (Q319797) (← links)
• Pricing and hedging basket options with exact moment matching (Q343968) (← links)
• A tractable LIBOR model with default risk (Q356479) (← links)
• Fast Fourier transform option pricing with stochastic interest rate, stochastic volatility and double jumps (Q482441) (← links)
• A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
• Pricing spread options with stochastic interest rates (Q1719038) (← links)
• The sum and difference of two lognormal random variables (Q1760859) (← links)
• A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models (Q1930421) (← links)
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk (Q1955160) (← links)
• An efficient computational algorithm for pricing European, barrier and American options (Q1993476) (← links)
• FFT-network for bivariate Lévy option pricing (Q2024616) (← links)
• Correlating Lévy processes with self-decomposability: applications to energy markets (Q2064647) (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• A fully quantization-based scheme for FBSDEs (Q2101958) (← links)
• Computable error bounds of multidimensional Euler inversion and their financial applications (Q2102846) (← links)
• Product Markovian quantization of a diffusion process with applications to finance (Q2176359) (← links)
• European rainbow option values under the two-asset Merton jump-diffusion model (Q2279888) (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• A closed-form solution for outperformance options with stochastic correlation and stochastic volatility (Q2351280) (← links)
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) (← links)
• Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets (Q2837760) (← links)
• THE AFFINE LIBOR MODELS (Q2851558) (← links)
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
• Unbounded liabilities, capital reserve requirements and the taxpayer put option (Q2869961) (← links)
• A comprehensive mathematical approach to exotic option pricing (Q2910830) (← links)
• Unbiased Simulation of Distributions with Explicitly Known Integral Transforms (Q2957032) (← links)
• Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration (Q3195114) (← links)
• Capital requirements, acceptable risks and profits (Q3650960) (← links)
• An Exact Formula for Pricing American Exchange Options with Regime Switching (Q4562482) (← links)
• Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)
• A Lévy HJM multiple-curve model with application to CVA computation (Q4683048) (← links)
• Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model (Q4689916) (← links)
• Three Non-Gaussian Models of Dependence in Returns (Q4976495) (← links)
• Cointegrated Commodity Markets and Pricing of Derivatives in a Non-Gaussian Framework (Q4976513) (← links)
• General closed-form basket option pricing bounds (Q5001150) (← links)
• PRICING HOLDER-EXTENDABLE CALL OPTIONS WITH MEAN-REVERTING STOCHASTIC VOLATILITY (Q5112593) (← links)
• Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)
• Rational Models for Inflation-Linked Derivatives (Q5144182) (← links)
• ON SPREAD OPTION PRICING USING TWO-DIMENSIONAL FOURIER TRANSFORM (Q5234011) (← links)
• Multivariate Lévy processes with dependent jump intensity (Q5245898) (← links)
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications (Q5247114) (← links)
• ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK (Q5370794) (← links)
• FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) (← links)
• Pricing two-asset rainbow options with the fast Fourier transform (Q6112085) (← links)
• CBI-time-changed Lévy processes (Q6116556) (← links)