Pages that link to "Item:Q2870656"

The following pages link to Robust Pricing of European Options with Wavelets and the Characteristic Function (Q2870656):

Displaying 22 items.

• Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
• Efficient wavelets-based valuation of synthetic CDO tranches (Q495089) (← links)
• The use of power numeraires in option pricing (Q1728170) (← links)
• Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• Wavelet-optimized compact finite difference method for convection-diffusion equations (Q2235338) (← links)
• Peaks and jumps reconstruction with \(B\)-splines scaling functions (Q2253075) (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063) (← links)
• Pricing early-exercise and discrete barrier options by Shannon wavelet expansions (Q2407470) (← links)
• Efficient Option Pricing by Frame Duality with the Fast Fourier Transform (Q2941478) (← links)
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options (Q3464429) (← links)
• Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Quantifying credit portfolio losses under multi-factor models (Q5031704) (← links)
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
• An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes (Q5139234) (← links)
• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
• Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option (Q6089117) (← links)
• Fast barrier option pricing by the COS BEM method in Heston model (with Matlab code) (Q6164526) (← links)
• A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options (Q6182371) (← links)