Pages that link to "Item:Q4906512"

The following pages link to CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512):

Displaying 38 items.

• Two price economies in continuous time (Q470719) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance (Q1620012) (← links)
• Pricing exotic options in a regime switching economy: a Fourier transform method (Q1621619) (← links)
• A general framework for time-changed Markov processes and applications (Q1622827) (← links)
• Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
• A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
• Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes (Q1754191) (← links)
• Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418) (← links)
• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations (Q2029925) (← links)
• Pricing American drawdown options under Markov models (Q2030371) (← links)
• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
• Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks (Q2059661) (← links)
• Maximum likelihood estimation of diffusions by continuous time Markov chain (Q2076164) (← links)
• Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
• Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation (Q2103028) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• Downside risk measurement in regime switching stochastic volatility (Q2178387) (← links)
• CTMC integral equation method for American options under stochastic local volatility models (Q2246620) (← links)
• First-passage times of regime switching models (Q2251701) (← links)
• Measure distorted arrival rate risks and their rewards (Q2296098) (← links)
• Pricing options based on trinomial Markov tree (Q2321462) (← links)
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps (Q2397852) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Markov chain approximation and measure change for time-inhomogeneous stochastic processes (Q2662572) (← links)
• Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps (Q3174919) (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
• Technical Note—On Matrix Exponential Differentiation with Application to Weighted Sum Distributions (Q5106348) (← links)
• Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611) (← links)
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) (← links)
• American Option Valuation under Continuous-Time Markov Chains (Q5262446) (← links)
• A general approach for Parisian stopping times under Markov processes (Q6111010) (← links)
• A general method for analysis and valuation of drawdown risk (Q6111436) (← links)
• A general approximation method for optimal stopping and random delay (Q6178390) (← links)
• Phase-type representations of stochastic interest rates with applications to life insurance (Q6201518) (← links)