scientific article; zbMATH DE number 1742902

zbMATH Open0997.91031MaRDI QIDQ4331490FDOQ4331490

Authors: Svetlana Boyarchenko, Sergei Levendorskiĭ 

Publication date: 21 May 2002

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 1642338
• Financial modeling under non-Gaussian distributions.
• Option pricing under some Lévy-like stochastic processes
• Exotic option pricing and advanced Lévy models.
• The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes

zbMATH Keywords

pricingpseudodifferential operatorshedgingcapital accumulationperpetual American optionsFeller processesbarrier optionsinvestment under uncertaintyendogenous defaultLévy processescontingent claims of European typefast pricing of European optionsmulti-asset contractpricing of corporate debts

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Actuarial science and mathematical finance (91Gxx)

Cited In (only showing first 100 items - show all)

• Option Pricing in Some Non-Lévy Jump Models
• PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
• Tempered stable process, first passage time, and path-dependent option pricing
• Magic Points in Finance: Empirical Integration for Parametric Option Pricing
• Non-symmetric stable operators: regularity theory and integration by parts
• Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver
• Modelling tail risk with tempered stable distributions: an overview
• American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations
• Some remarks on first passage of Lévy processes, the American put and pasting principles
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• Chebyshev interpolation for parametric option pricing
• Asymptotic expansion of the transition density of the semigroup associated to a SDE driven by Lévy noise
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models
• A combinatorial infinitesimal representation of Lévy processes and an application to incomplete markets
• A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
• Financial modeling under non-Gaussian distributions.
• On Rényi information for ergodic diffusion processes
• Closed-form option pricing for exponential Lévy models: a residue approach
• Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
• Feller processes of normal inverse Gaussian type
• On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process
• Optimal stopping for Lévy processes with one-sided solutions
• Preemption games under Lévy uncertainty
• Option pricing and hedging under a stochastic volatility Lévy process model
• Numerical simulation of a finite moment log stable model for a European call option
• The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option
• An Efficient Transform Method for Asian Option Pricing
• Modelling electricity prices: a time change approach
• A data-driven framework for consistent financial valuation and risk measurement
• A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models
• An analysis of dollar cost averaging and market timing investment strategies
• On the drawdown of completely asymmetric Lévy processes
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Linear complexity solution of parabolic integro-differential equations
• Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
• Some explicit identities associated with positive self-similar Markov processes
• Forward-looking portfolio selection with multivariate non-Gaussian models
• A penalty method for a fractional order parabolic variational inequality governing American put option valuation
• The quintessential option pricing formula under Lévy processes
• Exit problems in regime-switching models
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• Instantaneous portfolio theory
• A fast preconditioned penalty method for American options pricing under regime-switching tempered fractional diffusion models
• Generalised class of time fractional black Scholes equation and numerical analysis
• A family of density expansions for Lévy-type processes
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
• Heat kernel asymptotics of the subordinator and subordinate Brownian motion
• Exotic option pricing and advanced Lévy models.
• Exotic options under Lévy models: an overview
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Obstacle problems for nonlocal operators
• American options: the EPV pricing model
• Option pricing under some Lévy-like stochastic processes
• A finite difference method for pricing European and American options under a geometric Lévy process
• A theory of non‐Gaussian option pricing
• A posteriori error analysis for a class of integral equations and variational inequalities
• Conformal accelerations method and efficient evaluation of stable distributions
• The relative entropy in CGMY processes and its applications to finance
• Fast numerical simulation of a new time-space fractional option pricing model governing European call option
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• SKEWED LÉVY MODELS AND IMPLIED VOLATILITY SKEW
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• Numerical valuation of options with jumps in the underlying
• A general approach for lookback option pricing under Markov models
• Moments for tempered fractional advection-diffusion equations
• An insurance risk model with stochastic volatility
• Wavelets optimization method for evaluation of fractional partial differential equations: an application to financial modelling
• Lévy-Ito models in finance
• Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models
• Title not available (Why is that?)
• Pricing approximations and error estimates for local Lévy-type models with default
• Optimal stopping made easy
• Optimal stopping problems in Lévy models with random observations
• Algorithms of finite difference for pricing American options under fractional diffusion models
• A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
• ULTRA-FAST PRICING BARRIER OPTIONS AND CDSs
• Tempered stable processes with time-varying exponential tails
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
• Double-Barrier Option Pricing Under the Hyper-Exponential Jump Diffusion Model
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
• Lewis model revisited: option pricing with Lévy processes
• CONSTRUCTION OF THE BLACK-SCHOLES PDE WITH JUMP-DIFFUSION MODEL
• Monte Carlo method for pricing lookback type options in Lévy models
• Regulating stochastic clocks§
• SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options
• A preconditioned iterative method for coupled fractional partial differential equation in European option pricing
• Equations related to stochastic processes: semigroup approach and Fourier transform
• An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models
• Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes
• Applications of artificial neural networks to simulating Lévy processes
• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders
• Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process
• Efficient evaluation of double-barrier options
• Adaptation to climate change: extreme events versus gradual changes
• Fast solution method and simulation for the 2D time-space fractional Black-Scholes equation governing European two-asset option pricing
• THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION
• OPTION PRICING UNDER THE KOBOL MODEL
• Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4331490)