Pricing exotic derivatives exploiting structure
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Recommendations
- scientific article; zbMATH DE number 1069618
- THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
- A backward Monte Carlo approach to exotic option pricing
- Pricing exotic options. Monotonicity in volatility and efficient simulation
- PRICING A CLASS OF EXOTIC OPTIONS VIA MOMENTS AND SDP RELAXATIONS
Cites work
- scientific article; zbMATH DE number 1414604 (Why is no real title available?)
- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Z-Transform and preconditioning techniques for option pricing
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- A continuity correction for discrete barrier options
- A unifying approach to some old and new theorems on distribution and clustering
- An adaptive averaging binomial method for option valuation
- An exact analytical solution for discrete barrier options
- An improved convolution algorithm for discretely sampled Asian options
- Analysis of quadrature methods for pricing discrete barrier options
- Arithmetic Brownian motion and real options
- Calculating the Singular Values and Pseudo-Inverse of a Matrix
- Convergence of barrier option prices in the binomial model
- High-order computational methods for option valuation under multifactor models
- How to Deduce a Proper Eigenvalue Cluster from a Proper Singular Value Cluster in the Nonnormal Case
- Markov Chains
- Occupation times of jump-diffusion processes with double exponential jumps and the pricing of options
- On pricing lookback options under the CEV process
- Option Pricing Under GARCH Processes Using PDE Methods
- Option pricing under a normal mixture distribution derived from the Markov tree model
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Pricing discretely monitored Asian options by maturity randomization
- Spectral behavior of matrix sequences and discretized boundary value problems
- Step options.
- The Numerical Solution of Integral Equations of the Second Kind
Cited in
(22)- Proactive hedging European call option pricing with linear position strategy
- Pricing via recursive quantization in stochastic volatility models
- A general framework for pricing Asian options under stochastic volatility on parallel architectures
- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
- Optimal harvesting under marine reserves and uncertain environment
- A transform-based method for pricing Asian options under general two-dimensional models
- Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
- General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
- Algorithm of calculation of combined commodity options value
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Pricing exotic options. Monotonicity in volatility and efficient simulation
- A new concept of reliability system and applications in finance
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Pricing Asian option by the FFT with higher-order error convergence rate under Lévy processes
- A general framework for pricing Asian options under Markov processes
- A parallel wavelet-based pricing procedure for Asian options
- A backward Monte Carlo approach to exotic option pricing
- Fourier based methods for the management of complex life insurance products
- Exotic put options at the diffusion bond market
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Chapman-Kolmogorov lattice method for derivatives pricing
- American step options
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