Pages that link to "Item:Q854279"

The following pages link to A jump to default extended CEV model: an application of Bessel processes (Q854279):

Displaying 50 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
• Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
• Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
• Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
• New solvable stochastic volatility models for pricing volatility derivatives (Q744402) (← links)
• The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
• Generating integrable one dimensional driftless diffusions (Q857067) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• General dynamic term structures under default risk (Q1615894) (← links)
• Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
• Local volatility and the recovery rate of credit default swaps (Q1657603) (← links)
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
• The pricing of basket options: a weak convergence approach (Q1728166) (← links)
• Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248) (← links)
• Pricing VXX option with default risk and positive volatility skew (Q1927010) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
• Markov-modulated affine processes (Q2080289) (← links)
• Valuing American-style options under the CEV model: an integral representation based method (Q2180299) (← links)
• Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
• A family of density expansions for Lévy-type processes (Q2258531) (← links)
• Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
• Information uncertainty related to marked random times and optimal investment (Q2296112) (← links)
• Valuing convertible bonds based on LSRQM method (Q2320730) (← links)
• A unified approach to pricing and risk management of equity and credit risk (Q2349596) (← links)
• Pricing Bermudan options under local Lévy models with default (Q2408753) (← links)
• Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
• Optimal credit investment and risk control for an insurer with regime-switching (Q2633456) (← links)
• A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
• Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
• MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
• TRANSFORM ANALYSIS FOR POINT PROCESSES AND APPLICATIONS IN CREDIT RISK (Q2851562) (← links)
• STATIC HEDGING OF DEFAULTABLE CONTINGENT CLAIMS: A SIMPLE HEDGING SCHEME ACROSS EQUITY AND CREDIT MARKETS (Q3005959) (← links)
• A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES (Q3008488) (← links)
• INFORMATION ASYMMETRY IN PRICING OF CREDIT DERIVATIVES (Q3094325) (← links)
• TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK (Q3393976) (← links)
• Pricing Options on Defaultable Stocks* (Q3523656) (← links)
• THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
• Enhanced equity-credit modelling for contingent convertibles (Q4554224) (← links)
• Portfolio Choice with Market--Credit-Risk Dependencies (Q4582831) (← links)
• Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH (Q4635040) (← links)
• Efficient Computation of Various Valuation Adjustments Under Local Lévy Models (Q4635249) (← links)
• Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115) (← links)
• A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL (Q4909138) (← links)
• A Nonuniformly Integrable Martingale Bubble with a Crash (Q4971975) (← links)
• Static replication of barrier-type options via integral equations (Q4991074) (← links)
• Explicit asymptotics on first passage times of diffusion processes (Q5005031) (← links)