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- A class of option pricing models based on jump-diffusion processes
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- scientific article; zbMATH DE number 5026589
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(only showing first 100 items - show all)- A class of option pricing models based on jump-diffusion processes
- scientific article; zbMATH DE number 6174812 (Why is no real title available?)
- Jump-diffusion models with constant parameters for financial log-return processes
- THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- Computation of the unknown volatility from integral option price observations in jump-diffusion models
- Lookback option pricing using the Fourier transform B-spline method
- Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
- A hidden Markov-modulated jump diffusion model for European option pricing
- An iterative splitting method for pricing European options under the Heston model
- Quasi-Monte Carlo methods for the Kou model
- Alternative randomization for valuing American options
- The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- An alternative form to calibrate the correlated Stein-Stein option pricing model
- Credit modeling under jump diffusions with exponentially distributed jumps -- stable calibration, dynamics and gap risk
- On the threshold dividend strategy for a generalized jump-diffusion risk model
- Optimal asset allocation for DC pension decumulation with a variable spending rule
- Analytical valuation of catastrophe equity options with negative exponential jumps
- The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
- High-order methods for the option pricing under multivariate rough volatility models
- Acceptability indices of performance for bounded càdlàg processes
- An error analysis of a finite element method with IMEX-time semidiscretizations for some partial integro-differential inequalities arising in the pricing of American options
- Valuing Option Under Double Heston Jump-Diffusion Model with Stochastic Interest Rate and Approximative Fractional Brownian Motion
- A consistent pricing model for index options and volatility derivatives
- Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
- A multivariate Lévy process model with linear correlation
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- Across-time risk-aware strategies for outperforming a benchmark
- Variance swaps with mean reversion and multi-factor variance
- A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Truncation of computational domains as an error control strategy for approximating option pricing involving PIDEs
- NONPARAMETRIC DENSITY ESTIMATION BY B-SPLINE DUALITY
- Explicit solution processes for nonlinear jump-diffusion equations
- Efficient computation of first passage times in Kou's jump-diffusion model
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing an American binary option in a double exponential jump-diffusion model
- An approximation scheme for impulse control with random reaction periods
- Option pricing with Legendre polynomials
- Simulating risk measures via asymptotic expansions for relative errors
- The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
- A structural approach to default modelling with pure jump processes
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Numerical stability of a hybrid method for pricing options
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
- Approximate hedging of options under jump-diffusion processes
- Computable error bounds of multidimensional Euler inversion and their financial applications
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
- Efficient and flexible model-based clustering of jumps in diffusion processes
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment
- Modeling and Computation of CO2Allowance Derivatives Under Jump-Diffusion Processes
- On the probability of default in a market with price clustering and jump risk
- Hierarchical matrix approximations for space-fractional diffusion equations
- A new stopping problem and the critical exercise price for American fractional lookback option in a special mixed jump-diffusion model
- Option pricing when underlying stock returns are discontinuous
- A fuzzy approach to option pricing in a Lévy process setting
- Correlated continuous time random walk and option pricing
- A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
- The calibration of volatility for option pricing models with jump diffusion processes
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Optimally thresholded realized power variations for Lévy jump diffusion models
- Realization utility with path-dependent reference points
- DG method for pricing European options under Merton jump-diffusion model.
- A modified Black-Scholes pricing formula for European options with bounded underlying prices
- Opaque bank assets and optimal equity capital
- Path-dependent option pricing under a two-sided jump-diffusion model
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Monte Carlo acceleration method for pricing variance derivatives under stochastic volatility models with jump diffusion
- Clustered Lévy processes and their financial applications
- Pricing currency derivatives with Markov-modulated Lévy dynamics
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- Pricing discrete barrier options under the jump-diffusion model with stochastic volatility and stochastic intensity
- First crossing times of telegraph processes with jumps
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- Risk-minimizing pricing and hedging foreign currency options under regime-switching jump-diffusion models
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
- A general closed form option pricing formula
- The Term Structure of Simple Forward Rates with Jump Risk
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Analysis of Markov chain approximation for option pricing and hedging: grid design and convergence behavior
- Pricing European options in a double exponential jump-diffusion model with two market structure risks and their comparison
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
- Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
- Parameter estimation for time-fractional Black-Scholes equation with S\&P 500 index option
- Decomposition formula for jump diffusion models
- Pricing vulnerable options under a Markov-modulated jump-diffusion model with fire sales
- Option surface statistics with applications
- Locally risk-minimizing hedging for European contingent claims written on non-tradable assets with common jump risk
- Equilibrium valuation of currency options under a discontinuous model with co-jumps
- The numerical strategy of tempered fractional derivative in European double barrier option
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- A general method for analysis and valuation of drawdown risk
- Parameters estimation using the first passage times method in a jump-diffusion model
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
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