Pages that link to "Item:Q322636"
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The following pages link to Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636):
Displayed 33 items.
- Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
- Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) (← links)
- Full and fast calibration of the Heston stochastic volatility model (Q1694942) (← links)
- On the calibration of the 3/2 model (Q1734372) (← links)
- The risk premium that never was: a fair value explanation of the volatility spread (Q1754048) (← links)
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps (Q1754049) (← links)
- A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
- Integrated structural approach to credit value adjustment (Q1991244) (← links)
- Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) (← links)
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
- A general control variate method for Lévy models in finance (Q2178156) (← links)
- Early exercise boundaries for American-style knock-out options (Q2183887) (← links)
- A numerical method for pricing discrete double barrier option by Chebyshev polynomials (Q2184388) (← links)
- A Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- American step options (Q2282524) (← links)
- On double-boundary non-crossing probability for a class of compound processes with applications (Q2282550) (← links)
- VIX derivatives, hedging and vol-of-vol risk (Q2286994) (← links)
- Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
- Efficient and fast numerical method for pricing discrete double barrier option by projection method (Q2401999) (← links)
- An iterative splitting method for pricing European options under the Heston model (Q2660110) (← links)
- Fourier based methods for the management of complex life insurance products (Q2665862) (← links)
- Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space (Q4635240) (← links)
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) (← links)
- A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) (← links)
- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
- Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) (← links)
- Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
- Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) (← links)
- AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) (← links)
- A general approach for lookback option pricing under Markov models (Q6053112) (← links)