Option pricing when underlying stock returns are discontinuous
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- Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance
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- 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
- A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
- Lookback option pricing using the Fourier transform B-spline method
- Optimal strategy of mean-field FBSDE games with delay and noisy memory based on Malliavin calculus
- 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
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- Numerical analysis of American option pricing in a two-asset jump-diffusion model
- An iterative splitting method for pricing European options under the Heston model
- Multifrequency jump-diffusions: An equilibrium approach
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- Option pricing under two-factor stochastic volatility jump-diffusion model
- A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
- A simulation environment for discontinuous portfolio value processes
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Real options with priced regime-switching risk
- Effect of institutional deleveraging on option valuation problems
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- On the cumulant transforms for Hawkes processes
- The valuation of Russian options for double exponential jump diffusion processes
- An alternative form to calibrate the correlated Stein-Stein option pricing model
- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Forward or backward simulation? A comparative study
- Stochastic modeling and fair valuation of drawdown insurance
- Convergence and almost sure exponential stability of compensated split-step theta scheme for stochastic pantograph models with Poisson random measure
- An ODE approach for the expected discounted penalty at ruin in jump-diffusion model
- 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
- Analytically pricing European options with a two-factor Stein-Stein model
- 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
- Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
- Pricing perpetual American catastrophe put options: A penalty function approach
- Variance-optimal hedging for processes with stationary independent increments
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications
- Option pricing driven by a telegraph process with random jumps
- High-order time stepping scheme for pricing American option under bates model
- Stochastic approximation with nondecaying gain: Error bound and data‐driven gain‐tuning
- Markov chain Monte Carlo methods for stochastic volatility models.
- BEM based semi-analytical approach for accurate evaluation of arithmetic Asian barrier options
- Across-time risk-aware strategies for outperforming a benchmark
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- A semi-Lagrangian -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
- Filtration reduction and completeness in Brownian motion models
- Portfolio optimization in a multivariate jump-diffusion model
- The output feedback \(H_{\infty }\) control design for the linear stochastic system driven by both Brownian motion and Poisson jumps: A nonlinear matrix inequality approach
- A new well-posed algorithm to recover implied local volatility
- Derman and Taleb's ‘The illusions of dynamic replication’: a comment
- The Riccati system and a diffusion-type equation
- A combined compact difference scheme for option pricing in the exponential jump-diffusion models
- Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type
- Explicit solution processes for nonlinear jump-diffusion equations
- A two-state jump model
- Pricing warrant bonds with credit risk under a jump diffusion process
- Pricing vulnerable options with market prices of common jump risks under regime-switching models
- Pricing vulnerable options under a Markov-modulated regime switching model
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- Option pricing with Legendre polynomials
- Calibration of a nonlinear feedback option pricing model
- Evaluating pharmaceutical R\&D under technical and economic uncertainty
- A pricing model of airbag options with discrete monitoring
- Itô-Taylor expansion method of European spread option pricing for multivariate diffusions with jumps
- On the exact and -strong simulation of (jump) diffusions
- The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
- Local stochastic volatility with jumps: analytical approximations
- Retracted article: A generalized real option pricing method of R\&D investments: jump diffusion and external competition
- A simple framework for the stochastic volatility uncertainty
- Numerical stability of a hybrid method for pricing options
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude
- Saddlepoint approximations for continuous-time Markov processes
- Approximate hedging of options under jump-diffusion processes
- A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- A fractional version of the Merton model.
- Regularity analyses and approximation of nonlocal variational equality and inequality problems
- Bounds on prices for Asian options via Fourier methods
- Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
- Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
- Jump amplitude inference in SDEs with cosine kernel
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing
- Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications
- Pricing vulnerable reset options under stochastic volatility jump diffusion model using 3-D FFT
- The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging
- Pricing interest rate derivatives under monetary changes
- Remarks on the transformation of Ito's formula for jump-diffusion processes
- An inverse problem of determining the implied volatility in option pricing
- Application of two-dimensional Fibonacci wavelets in fractional partial differential equations arising in the financial market
- Nonparametric implied Lévy densities
- Second order convex splitting schemes for periodic nonlocal Cahn-Hilliard and Allen-Cahn equations
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