The following pages link to (Q2763689):
Displayed 50 items.
- Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) (← links)
- A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- Stability of central finite difference schemes for the Heston PDE (Q415346) (← links)
- A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion (Q466991) (← links)
- Efficiently pricing double barrier derivatives in stochastic volatility models (Q488214) (← links)
- FFT based option pricing under a mean reverting process with stochastic volatility and jumps (Q534218) (← links)
- Accounting for risk of non linear portfolios. A novel Fourier approach (Q614629) (← links)
- Asymptotic option pricing under the CEV diffusion (Q615913) (← links)
- A note on first-passage times of continuously time-changed Brownian motion (Q654495) (← links)
- An approximation of small-time probability density functions in a general jump diffusion model (Q668543) (← links)
- Measuring exposure to dependence risk with random Bernstein copula scenarios (Q723986) (← links)
- The evaluation of European compound option prices under stochastic volatility using Fourier transform techniques (Q744404) (← links)
- Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory (Q928297) (← links)
- Stochastic optimal control of ultradiffusion processes with application to dynamic portfolio management (Q952084) (← links)
- Option pricing, maturity randomization and distributed computing (Q991134) (← links)
- A multivariate stochastic volatility model with applications in the foreign exchange market (Q1621630) (← links)
- Structural default model with mutual obligations (Q1621641) (← links)
- Pricing foreign exchange options under intervention by absorption modeling (Q1627677) (← links)
- Corporate bond pricing model with stochastically volatile firm value process (Q1672715) (← links)
- Resolution of policy uncertainty and sudden declines in volatility (Q1706492) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- Lewis model revisited: option pricing with Lévy processes (Q2021615) (← links)
- Lévy-Ito models in finance (Q2039766) (← links)
- Correction to: ``Semi-analytical prices for lookback and barrier options under the Heston model'' (Q2145708) (← links)
- Semi-analytic pricing of double barrier options with time-dependent barriers and rebates at hit (Q2170290) (← links)
- Multilayer heat equations: application to finance (Q2170292) (← links)
- Highly efficient parallel algorithms for solving the Bates PIDE for pricing options on a GPU (Q2244180) (← links)
- Particle methods for PDEs arising in financial modeling (Q2343601) (← links)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model (Q2406299) (← links)
- Local time and the pricing of path-dependent options (Q2430252) (← links)
- A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate (Q2448388) (← links)
- A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications (Q2520233) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- MODERN MONETARY CIRCUIT THEORY, STABILITY OF INTERCONNECTED BANKING NETWORK, AND BALANCE SHEET OPTIMIZATION FOR INDIVIDUAL BANKS (Q2828054) (← links)
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539) (← links)
- Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319) (← links)
- COHERENT FOREIGN EXCHANGE MARKET MODELS (Q2970322) (← links)
- MULTI-ASSET STOCHASTIC LOCAL VARIANCE CONTRACTS (Q3069956) (← links)
- Credit default swaps with and without counterparty and collateral adjustments (Q3145079) (← links)
- Boundary conditions for computing densities in hybrid models via PDE methods (Q3145084) (← links)
- Exchangeability-type properties of asset prices (Q3173000) (← links)
- A generalized Fourier transform approach to risk measures (Q3301115) (← links)
- OLD PROBLEMS, CLASSICAL METHODS, NEW SOLUTIONS (Q3304213) (← links)
- THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS (Q3621561) (← links)
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
- From insurance risk to credit portfolio management: a new approach to pricing CDOs (Q4554223) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- Forward Start Foreign Exchange Options Under Heston’s Volatility and the CIR Interest Rates (Q4561924) (← links)
- Multiasset Derivatives and Joint Distributions of Asset Prices (Q4561945) (← links)