Pages that link to "Item:Q2488481"
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The following pages link to Integro-differential equations for option prices in exponential Lévy models (Q2488481):
Displaying 50 items.
- Comparison of numerical methods on pricing equations with non-Lévy jumps (Q330364) (← links)
- A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates (Q331363) (← links)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
- On the calibration of local jump-diffusion asset price models (Q484208) (← links)
- Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models (Q486710) (← links)
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type (Q609727) (← links)
- Solutions to a gradient-dependent integro-differential parabolic problem arising in the pricing of financial options in a Lévy market (Q641552) (← links)
- On Kolmogorov equations for anisotropic multivariate Lévy processes (Q650769) (← links)
- A splitting strategy for the calibration of jump-diffusion models (Q784736) (← links)
- Exotic options under Lévy models: an overview (Q818210) (← links)
- Spectral calibration of exponential Lévy models (Q881412) (← links)
- Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) (← links)
- Weak reflection principle for Lévy processes (Q894806) (← links)
- Identification of the local speed function in a Lévy model for option pricing (Q935180) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets (Q1676977) (← links)
- Value function regularity in option pricing problems under a pure jump model (Q1678504) (← links)
- Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index (Q1682600) (← links)
- Analysis of splitting methods for solving a partial integro-differential Fokker-Planck equation (Q1734297) (← links)
- Tangent Lévy market models (Q1761433) (← links)
- Numerical solution of high-order Volterra-Fredholm integro-differential equations by using Legendre collocation method (Q2001624) (← links)
- Option valuation under the VG process by a DG method. (Q2058996) (← links)
- Volterra-type integro-differential equations with two-point singular differential operator (Q2121970) (← links)
- Fitted second order numerical method for a singularly perturbed Fredholm integro-differential equation (Q2190716) (← links)
- Option pricing in illiquid markets: a fractional jump-diffusion approach (Q2195887) (← links)
- A robust numerical method for a singularly perturbed Fredholm integro-differential equation (Q2222876) (← links)
- Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models (Q2238770) (← links)
- Numerical algorithm based on extended barycentric Lagrange interpolant for two dimensional integro-differential equations (Q2242110) (← links)
- Jump-diffusion processes in random environments (Q2249246) (← links)
- Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
- Aleksandrov-Bakelman-Pucci type estimates for integro-differential equations (Q2276344) (← links)
- A new algorithm for the solution of nonlinear two-dimensional Volterra integro-differential equations of high-order (Q2279856) (← links)
- Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option (Q2422168) (← links)
- An improved method based on Haar wavelets for numerical solution of nonlinear integral and integro-differential equations of first and higher orders (Q2511218) (← links)
- Forward equations for option prices in semimartingale models (Q2516772) (← links)
- On the path-independence of the Girsanov transformation for stochastic evolution equations with jumps in Hilbert spaces (Q2633632) (← links)
- A-PINN: auxiliary physics informed neural networks for forward and inverse problems of nonlinear integro-differential equations (Q2671335) (← links)
- Feynman–Kac formulas for regime-switching jump diffusions and their applications (Q2804019) (← links)
- NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING (Q2970319) (← links)
- A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (Q3423398) (← links)
- Perpetual barrier options in jump-diffusion models (Q3429337) (← links)
- On oscillation of integro-differential equations (Q4633743) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
- Error Bounds for Small Jumps of Lévy Processes (Q4915651) (← links)
- (Q5884081) (← links)
- A collocation method using generalized Laguerre polynomials for solving nonlinear optimal control problems governed by integro-differential equations (Q6049328) (← links)
- Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364) (← links)
- Some classes of first-order integro-differential equations and their conjugate equations (Q6059326) (← links)
- A numerical approach for singularly perturbed reaction diffusion type Volterra-Fredholm integro-differential equations (Q6093339) (← links)
