scientific article; zbMATH DE number 1742902
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- Financial modeling under non-Gaussian distributions.
- Option pricing under some Lévy-like stochastic processes
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- Optimal stopping made easy
- Fast numerical simulation of a new time-space fractional option pricing model governing European call option
- A finite difference method for pricing European and American options under a geometric Lévy process
- Linear complexity solution of parabolic integro-differential equations
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Conformal accelerations method and efficient evaluation of stable distributions
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- Some explicit identities associated with positive self-similar Markov processes
- Instantaneous portfolio theory
- Closed-form option pricing for exponential Lévy models: a residue approach
- A data-driven framework for consistent financial valuation and risk measurement
- A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
- Lévy-Ito models in finance
- Heat kernel asymptotics of the subordinator and subordinate Brownian motion
- Forward-looking portfolio selection with multivariate non-Gaussian models
- Financial modeling under non-Gaussian distributions.
- American options in the Heston model with stochastic interest rate and its generalizations
- American options: the EPV pricing model
- Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
- Option pricing in some non-Lévy jump models
- Optimal stopping for Lévy processes with one-sided solutions
- Numerical valuation of options with jumps in the underlying
- Quanto option pricing in the presence of fat tails and asymmetric dependence
- A radial basis function scheme for option pricing in exponential Lévy models
- Tempered stable process, first passage time, and path-dependent option pricing
- Exotic options under Lévy models: an overview
- Exotic option pricing and advanced Lévy models.
- A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Preemption games under Lévy uncertainty
- Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
- On the monitoring error of the supremum of a normal jump diffusion process
- Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
- Option pricing and hedging under a stochastic volatility Lévy process model
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Optimal stopping problems in Lévy models with random observations
- A theory of non‐Gaussian option pricing
- Non-symmetric stable operators: regularity theory and integration by parts
- An analysis of dollar cost averaging and market timing investment strategies
- Algorithms of finite difference for pricing American options under fractional diffusion models
- scientific article; zbMATH DE number 1642338 (Why is no real title available?)
- An insurance risk model with stochastic volatility
- Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
- Monte Carlo option pricing for tempered stable (CGMY) processes
- A family of density expansions for Lévy-type processes
- A general approach for lookback option pricing under Markov models
- Numerical simulation of a finite moment log stable model for a European call option
- A posteriori error analysis for a class of integral equations and variational inequalities
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- Obstacle problems for nonlocal operators
- The relative entropy in CGMY processes and its applications to finance
- A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets
- Chebyshev interpolation for parametric option pricing
- Option pricing under some Lévy-like stochastic processes
- Modelling electricity prices: a time change approach
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Feller processes of normal inverse Gaussian type
- Pricing approximations and error estimates for local Lévy-type models with default
- Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
- On the drawdown of completely asymmetric Lévy processes
- PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
- On Rényi information for ergodic diffusion processes
- Moments for tempered fractional advection-diffusion equations
- Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
- The quintessential option pricing formula under Lévy processes
- Generalised class of time fractional black Scholes equation and numerical analysis
- An efficient transform method for Asian option pricing
- SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
- Modelling tail risk with tempered stable distributions: an overview
- Exit problems in regime-switching models
- Monte Carlo method for pricing lookback type options in Lévy models
- Valuation of American options under the CGMY model
- Regulating stochastic clocks§
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Ultra-fast pricing barrier options and CDSs
- A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
- Equations related to stochastic processes: semigroup approach and Fourier transform
- A novel banded preconditioner for coupled tempered fractional diffusion equation generated from the regime-switching CGMY model
- A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
- Double-barrier option pricing under the hyper-exponential jump diffusion model
- Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
- An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
- Static hedging under maturity mismatch
- A second order numerical scheme for fractional option pricing models
- Construction of the Black-Scholes PDE with jump-diffusion model
- Adaptation to climate change: extreme events versus gradual changes
- Lewis model revisited: option pricing with Lévy processes
- Multiscale exponential Lévy-type models
- Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
- Pricing arithmetic Asian options under Lévy models by backward induction in the dual space
- Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations
- Variance-GGC asset price models and their sensitivity analysis
- Tempered stable processes with time-varying exponential tails
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