Pages that link to "Item:Q1417033"

The following pages link to Option pricing using variance gamma Markov chains (Q1417033):

Displaying 41 items.

• Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps (Q331361) (← links)
• Multivariate European option pricing in a Markov-modulated Lévy framework (Q507979) (← links)
• Option pricing for pure jump processes with Markov switching compensators (Q854276) (← links)
• Multiple priors and asset pricing (Q1023977) (← links)
• A tale of two volatilities (Q1037571) (← links)
• Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation (Q2163888) (← links)
• Towards a \(\Delta\)-Gamma Sato multivariate model (Q2180296) (← links)
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates (Q2424929) (← links)
• A high-low based omnibus test for symmetry, the Lévy property, and other hypotheses on intraday returns (Q2430251) (← links)
• A bootstrapping market implied moment matching calibration for models with time-dependent parameters (Q2517486) (← links)
• ON VALUING STOCHASTIC PERPETUITIES USING NEW LONG HORIZON STOCK PRICE MODELS DISTINGUISHING BOOMS, BUSTS, AND BALANCED MARKETS (Q2799997) (← links)
• Unbounded liabilities, capital reserve requirements and the taxpayer put option (Q2869961) (← links)
• LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS (Q2882691) (← links)
• FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
• Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes (Q3176516) (← links)
• Equity with Markov-modulated dividends (Q3182645) (← links)
• Sato processes and the valuation of structured products (Q3182646) (← links)
• SELF-DECOMPOSABILITY AND OPTION PRICING (Q3446058) (← links)
• Short Positions, Rally Fears and Option Markets (Q3565100) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095) (← links)
• MULTIVARIATE OPTION PRICING MODELS WITH LÉVY AND SATO VG MARGINAL PROCESSES (Q4634638) (← links)
• A two-state jump model (Q4647253) (← links)
• Option overlay strategies (Q4683071) (← links)
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226) (← links)
• Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information (Q4968923) (← links)
• Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy (Q5001195) (← links)
• OPTION SURFACE STATISTICS WITH APPLICATIONS (Q5048581) (← links)
• Additive normal tempered stable processes for equity derivatives and power-law scaling (Q5072909) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (Q5092651) (← links)
• Additive Processes with Bilateral Gamma Marginals (Q5149265) (← links)
• OPTION IMPLIED VIX, SKEW AND KURTOSIS TERM STRUCTURES (Q5157846) (← links)
• Building multivariate Sato models with linear dependence (Q5234317) (← links)
• Momentum and reversion in risk neutral martingale probabilities (Q5245350) (← links)
• Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324) (← links)
• Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
• A moment matching market implied calibration (Q5397467) (← links)
• TWO PROCESSES FOR TWO PRICES (Q5411989) (← links)
• CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS (Q5420702) (← links)
• Short Option Maturity Term Structures of Skewness and Excess Kurtosis* (Q6671995) (← links)