A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
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Publication:5320682
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- General closed-form basket option pricing bounds
- Valuation of forward start options under affine jump-diffusion models
- Solving high-dimensional optimal stopping problems using deep learning
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- VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
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- Lookback option pricing using the Fourier transform B-spline method
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- Robust barrier option pricing by frame projection under exponential Lévy dynamics
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Efficient pricing of swing options in Lévy-driven models
- Option pricing in some non-Lévy jump models
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- Two‐dimensional Haar wavelet based approximation technique to study the sensitivities of the price of an option
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Numerical valuation of European and American options under Merton's model
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- A wavelet‐based novel approximation to investigate the sensitivities of various path‐independent binary options
- Short time behavior of the ATM implied skew in the ADO-Heston model
- The valuation of American options with the stochastic liquidity risk and jump risk
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- Efficient valuation of barrier options under equity and interest rate risks
- From characteristic functions to multivariate distribution functions and European option prices by the (damped) COS method
- Fourier neural network approximation of transition densities in finance
- Failure of Fourier pricing techniques to approximate the Greeks
- A posteriori error analysis for a class of integral equations and variational inequalities
- A general approximate computational framework for basket spread options pricing with and without default risk
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- On coordinate transformation and grid stretching for sparse grid pricing of basket options
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