Pages that link to "Item:Q2707182"
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The following pages link to A Continuity Correction for Discrete Barrier Options (Q2707182):
Displayed 50 items.
- A general control variate method for option pricing under Lévy processes (Q132360) (← links)
- Pricing exotic derivatives exploiting structure (Q299917) (← links)
- Using the continuous price as control variate for discretely monitored options (Q433633) (← links)
- Numerical method of pricing discretely monitored barrier option (Q475657) (← links)
- Chapman-Kolmogorov lattice method for derivatives pricing (Q505800) (← links)
- Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
- Numerical valuation of discrete double barrier options (Q847225) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Interaction particle systems for the computation of rare credit portfolio losses (Q964695) (← links)
- Matching asymptotics in path-dependent option pricing (Q968852) (← links)
- A lattice algorithm for pricing moving average barrier options (Q975929) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- Complete corrected diffusion approximations for the maximum of a random walk (Q997958) (← links)
- Analysis of quadrature methods for pricing discrete barrier options (Q1017005) (← links)
- Pricing algorithms of multivariate path dependent options (Q1347857) (← links)
- PDE methods for pricing barrier options (Q1583144) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Using forward Monte-Carlo simulation for the valuation of American barrier options (Q1639295) (← links)
- Zooming in on a Lévy process at its supremum (Q1650094) (← links)
- The value of foresight (Q1679467) (← links)
- Pricing barrier options in the Heston model using the Heath-Platen estimator (Q1746428) (← links)
- Weak approximation of killed diffusion using Euler schemes. (Q1877395) (← links)
- Improving Brownian approximations for boundary crossing problems (Q1940752) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- Explainable neural network for pricing and universal static hedging of contingent claims (Q2060236) (← links)
- Exact simulation of the first passage time through a given level of jump diffusions (Q2079352) (← 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)
- Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type (Q2128243) (← links)
- Solving elliptic equations with Brownian motion: bias reduction and temporal difference learning (Q2157396) (← links)
- A general control variate method for Lévy models in finance (Q2178156) (← links)
- Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid (Q2201489) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Stopped diffusion processes: boundary corrections and overshoot (Q2267543) (← links)
- Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
- Exact simulation of the first-passage time of diffusions (Q2316185) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Efficient simulation of a multi-factor stochastic volatility model (Q2349593) (← links)
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet (Q2406310) (← links)
- Estimating correlation from high, low, opening and closing prices (Q2426612) (← links)
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation (Q2434751) (← links)
- On Lerch's transcendent and the Gaussian random walk (Q2455051) (← links)
- Fast and accurate pricing of discretely monitored barrier options by numerical path integration (Q2461660) (← links)
- Cumulants of the maximum of the Gaussian random walk (Q2464856) (← links)
- Discrete approximation of finite-horizon American-style options (Q2466765) (← links)
- On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo (Q2473285) (← links)