The following pages link to Step Options (Q2757294):
Displaying 40 items.
- Pricing exotic derivatives exploiting structure (Q299917) (← links)
- Weak approximation rates for integral functionals of Markov processes (Q340781) (← links)
- Accuracy of discrete approximation for integral functionals of Markov processes (Q340801) (← links)
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process (Q645698) (← links)
- Characteristic functions and option valuation in a Markov chain market (Q651452) (← links)
- On occupation times in the red of Lévy risk models (Q784389) (← links)
- Pricing derivatives with barriers in a stochastic interest rate environment (Q844767) (← links)
- Occupation times of hyper-exponential jump diffusion processes with application to price step options (Q893129) (← links)
- An object-oriented framework for valuing shout options on high-performance computer architectures (Q951351) (← links)
- Optimal investment strategy to minimize occupation time (Q993736) (← links)
- How the sojourn time distributions of Brownian motion are affected by different forms of conditioning. (Q1423051) (← links)
- On information costs, short sales and the pricing of extendible options, steps and Parisian options (Q1615798) (← links)
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models (Q1617121) (← links)
- Differential quadrature domain decomposition method for a class of parabolic equations (Q1770697) (← links)
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
- Proactive hedging European option pricing with a general logarithmic position strategy (Q2073577) (← links)
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) (← links)
- Occupation times in the MAP risk model (Q2260947) (← links)
- On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models (Q2274283) (← links)
- American step options (Q2282524) (← links)
- A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing (Q2349735) (← links)
- An occupation time related potential measure for diffusion processes (Q2358367) (← links)
- A new type of barrier options: lizard option (Q2398587) (← links)
- Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications (Q2407767) (← links)
- Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view (Q2806357) (← links)
- PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376) (← links)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) (← links)
- Distribution of occupation times for constant elasticity of variance diffusion and the pricing of<b>α</b>-quantile options (Q3439870) (← links)
- THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS (Q3502163) (← links)
- COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY (Q3523604) (← links)
- Valuing qualitative options with stochastic volatility (Q3650963) (← links)
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates (Q4464013) (← links)
- A General Valuation Framework for SABR and Stochastic Local Volatility Models (Q4579833) (← links)
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
- Pricing Occupation-Time Options in a Mixed-Exponential Jump-Diffusion Model (Q4682697) (← links)
- Robust barrier option pricing by frame projection under exponential Lévy dynamics (Q5373910) (← links)
- Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients (Q5868800) (← links)
- Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers. (Q5931564) (← links)
- Perpetual American options with asset-dependent discounting (Q6139952) (← links)
- A Hamiltonian approach to floating barrier option pricing (Q6140930) (← links)
