Pages that link to "Item:Q5322136"
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The following pages link to A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (Q5322136):
Displayed 27 items.
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513) (← links)
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions (Q849055) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- The Chebyshev fast Gauss and nonuniform fast Fourier transforms and their application to the evaluation of distributed heat potentials (Q935314) (← links)
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688) (← links)
- Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
- A simple and efficient numerical method for pricing discretely monitored early-exercise options (Q2113697) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Fast approximation of the discrete Gauss transform in higher dimensions (Q2392140) (← links)
- A numerical method for pricing discrete double barrier option by Legendre multiwavelet (Q2406310) (← links)
- Pricing financial claims contingent upon an underlying asset monitored at discrete times (Q2476662) (← links)
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options (Q2503998) (← links)
- A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion (Q2804029) (← links)
- An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
- <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options (Q2917437) (← links)
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (Q3521283) (← links)
- THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING (Q3553256) (← links)
- Error Bounds for Small Jumps of Lévy Processes (Q4915651) (← links)
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
- Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
- Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) (← links)
- Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
- A general approach for lookback option pricing under Markov models (Q6053112) (← links)
- A numerical method for pricing discrete double barrier option by Lagrange interpolation on Jacobi nodes (Q6140451) (← links)