Pages that link to "Item:Q5322136"
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The following pages link to A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (Q5322136):
Displayed 12 items.
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- The Chebyshev fast Gauss and nonuniform fast Fourier transforms and their application to the evaluation of distributed heat potentials (Q935314) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Fast approximation of the discrete Gauss transform in higher dimensions (Q2392140) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options (Q2503998) (← links)
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
- <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING (Q3553256) (← links)
- Error Bounds for Small Jumps of Lévy Processes (Q4915651) (← links)