Pages that link to "Item:Q3577151"

The following pages link to A transform approach to compute prices and Greeks of barrier options driven by a class of Lévy processes (Q3577151):

Displayed 32 items.

• Approximating Lévy processes with completely monotone jumps (Q259581) ‎ (← links)
• Barrier option under Lévy model: a PIDE and Mellin transform approach (Q272119) ‎ (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) ‎ (← links)
• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models (Q334773) ‎ (← links)
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps (Q432503) ‎ (← links)
• Meromorphic Lévy processes and their fluctuation identities (Q433907) ‎ (← links)
• The \(\beta\)-Meixner model (Q765298) ‎ (← links)
• Iterative algorithm for the first passage time distribution in a jump-diffusion model with regime-switching, and its applications (Q893122) ‎ (← links)
• Analytic techniques for option pricing under a hyperexponential Lévy model (Q1639540) ‎ (← links)
• Pricing discretely-monitored double barrier options with small probabilities of execution (Q2029343) ‎ (← links)
• On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance (Q2153520) ‎ (← links)
• Application of Lévy processes and Esscher transformed martingale measures for option pricing in fuzzy framework (Q2252399) ‎ (← links)
• Application of homotopy analysis method to option pricing under Lévy processes (Q2254307) ‎ (← links)
• Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes (Q2439244) ‎ (← links)
• PRICING AND HEDGING BARRIER OPTIONS IN A HYPER-EXPONENTIAL ADDITIVE MODEL (Q2786031) ‎ (← links)
• Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications (Q2794727) ‎ (← links)
• CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK (Q2842534) ‎ (← links)
• An extension of CreditGrades model approach with Lévy processes (Q2866399) ‎ (← links)
• Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model (Q3094682) ‎ (← links)
• DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS (Q3107929) ‎ (← links)
• PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER (Q3107930) ‎ (← links)
• On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) ‎ (← links)
• METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES (Q3191839) ‎ (← links)
• Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models (Q4584999) ‎ (← links)
• Computing Greeks for Lévy Models: The Fourier Transform Approach (Q4606769) ‎ (← links)
• Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) ‎ (← links)
• CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) ‎ (← links)
• VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES (Q4906521) ‎ (← links)
• A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes (Q4995066) ‎ (← links)
• Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) ‎ (← links)
• Pricing discrete barrier options and credit default swaps under Lévy processes (Q5245896) ‎ (← links)
• Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364) ‎ (← links)