Pages that link to "Item:Q849055"

The following pages link to Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055):

Displaying 50 items.

• Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
• The evaluation of barrier option prices under stochastic volatility (Q356102) (← links)
• A fast numerical method to price American options under the Bates model (Q516683) (← links)
• An iterative method for pricing American options under jump-diffusion models (Q534258) (← links)
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach (Q614340) (← links)
• Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541) (← links)
• The \(\beta\)-Meixner model (Q765298) (← links)
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes (Q898993) (← links)
• American option valuation under time changed tempered stable Lévy processes (Q1620146) (← links)
• Computation of Greeks using binomial trees in a jump-diffusion model (Q1623987) (← links)
• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing (Q1624661) (← links)
• An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models (Q1651337) (← links)
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
• RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811) (← links)
• Fast quadrature methods for options with discrete dividends (Q1675932) (← links)
• A high-order finite difference method for option valuation (Q1705003) (← links)
• Fast and accurate calculation of American option prices (Q1715613) (← links)
• RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
• Multivariate FX models with jumps: triangles, quantos and implied correlation (Q1753549) (← links)
• An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
• Analytical pricing of American options (Q1937837) (← links)
• A Fourier-cosine method for finite-time ruin probabilities (Q2038248) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm (Q2095684) (← links)
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model (Q2097450) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Very fast algorithms for implied barriers and moving-barrier options pricing (Q2104341) (← links)
• A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (Q2166927) (← links)
• Early exercise boundaries for American-style knock-out options (Q2183887) (← links)
• A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
• Neural network regression for Bermudan option pricing (Q2239248) (← links)
• Finite-time dividend problems in a Lévy risk model under periodic observation (Q2242128) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
• Valuation of electricity storage contracts using the COS method (Q2245038) (← links)
• Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
• Efficient and high accuracy pricing of barrier options under the CEV diffusion (Q2252824) (← links)
• Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
• Optimal importance sampling for Lévy processes (Q2289777) (← links)
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income (Q2296513) (← links)