Pages that link to "Item:Q99433"
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The following pages link to A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (Q99433):
Displaying 50 items.
- RMOPI (Q99434) (← links)
- Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
- A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
- Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model (Q342905) (← links)
- The evaluation of barrier option prices under stochastic volatility (Q356102) (← 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)
- Pricing basket options by polynomial approximations (Q670300) (← links)
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
- Model risk and discretisation of locally risk-minimising strategies (Q730515) (← links)
- Efficient pricing of discrete arithmetic Asian options under mean reversion and jumps based on Fourier-cosine expansions (Q730541) (← links)
- A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
- The \(\beta\)-Meixner model (Q765298) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
- Analytical approximation for distorted expectations (Q900958) (← links)
- Tempered stable structural model in pricing credit spread and credit default swap (Q1621638) (← links)
- An analytical approximation for single barrier options under stochastic volatility models (Q1621902) (← 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)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- The Jacobi stochastic volatility model (Q1650944) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- A regression-based numerical scheme for backward stochastic differential equations (Q1695419) (← links)
- A high-order finite difference method for option valuation (Q1705003) (← links)
- Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion (Q1726860) (← links)
- The use of power numeraires in option pricing (Q1728170) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- On a one time-step Monte Carlo simulation approach of the SABR model: application to European options (Q1737183) (← links)
- RBF-PU method for pricing options under the jump-diffusion model with local volatility (Q1747298) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems (Q1756203) (← links)
- An efficient algorithm for Bermudan barrier option pricing (Q1931135) (← links)
- Analytical pricing of American options (Q1937837) (← links)
- Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
- Integrated structural approach to credit value adjustment (Q1991244) (← links)
- Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
- A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs (Q1998126) (← links)
- Radial basis function partition of unity methods for pricing vanilla basket options (Q2006598) (← links)
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
- A neural network-based framework for financial model calibration (Q2022121) (← links)
- A Fourier-cosine method for finite-time ruin probabilities (Q2038248) (← links)
- The value of power-related options under spectrally negative Lévy processes (Q2047039) (← links)
- Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
- Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
