Pages that link to "Item:Q5126611"

The following pages link to Analysis of Markov Chain Approximation for Option Pricing and Hedging: Grid Design and Convergence Behavior (Q5126611):

Displayed 21 items.

• Optimal non-uniform finite difference grids for the Black-Scholes equations (Q1998418) ‎ (← 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)
• 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)
• 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)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) ‎ (← links)
• Markov chain approximation of one-dimensional sticky diffusions (Q5022266) ‎ (← links)
• Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) ‎ (← links)
• A general approach for lookback option pricing under Markov models (Q6053112) ‎ (← links)
• Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation (Q6053120) ‎ (← 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)
• Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps (Q6146678) ‎ (← links)
• A general approximation method for optimal stopping and random delay (Q6178390) ‎ (← links)
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps (Q6182318) ‎ (← links)