Pages that link to "Item:Q3622838"

The following pages link to Fourier space time-stepping for option pricing with Lévy models (Q3622838):

Displayed 50 items.

• 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)
• Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme (Q488213) ‎ (← links)
• Catastrophe risk management with counterparty risk using alternative instruments (Q661243) ‎ (← links)
• Option pricing in jump diffusion models with quadratic spline collocation (Q671091) ‎ (← links)
• Numerical methods for Lévy processes (Q964687) ‎ (← links)
• Parallel option pricing with Fourier space time-stepping method on graphics processing units (Q991129) ‎ (← links)
• Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions (Q1044217) ‎ (← links)
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570) ‎ (← links)
• FFT-network for bivariate Lévy option pricing (Q2024616) ‎ (← links)
• Geometric step options and Lévy models: duality, pides, and semi-analytical pricing (Q2170289) ‎ (← links)
• Early exercise boundaries for American-style knock-out options (Q2183887) ‎ (← links)
• A spectral element method for option pricing under regime-switching with jumps (Q2189667) ‎ (← links)
• Financial options pricing with regime-switching jump-diffusions (Q2398904) ‎ (← links)
• Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) ‎ (← links)
• A Fourier transform method for solving backward stochastic differential equations (Q2671235) ‎ (← links)
• VALUING EARLY-EXERCISE INTEREST-RATE OPTIONS WITH MULTI-FACTOR AFFINE MODELS (Q2862511) ‎ (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) ‎ (← links)
• Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility (Q2879036) ‎ (← links)
• Pricing American options written on two underlying assets (Q2879038) ‎ (← links)
• A generalized variance gamma process for financial applications (Q2893076) ‎ (← links)
• A MULTIVARIATE PURE-JUMP MODEL WITH MULTI-FACTORIAL DEPENDENCE STRUCTURE (Q2909513) ‎ (← links)
• ESO Valuation with Job Termination Risk and Jumps in Stock Price (Q2941470) ‎ (← links)
• Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) ‎ (← links)
• Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) ‎ (← links)
• FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS (Q3460680) ‎ (← links)
• OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS (Q3467597) ‎ (← links)
• A Flexible Galerkin Scheme for Option Pricing in Lévy Models (Q4553796) ‎ (← links)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448) ‎ (← links)
• The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (Q4576977) ‎ (← links)
• A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models (Q4586030) ‎ (← links)
• MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS (Q4608113) ‎ (← links)
• Parisian options with jumps: a maturity–excursion randomization approach (Q4619530) ‎ (← links)
• Dimension and variance reduction for Monte Carlo methods for high-dimensional models in finance (Q4682492) ‎ (← links)
• NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542) ‎ (← links)
• Stability of numerical methods under the regime-switching jump-diffusion model with variable coefficients (Q4972114) ‎ (← links)
• General closed-form basket option pricing bounds (Q5001150) ‎ (← links)
• Valuation of forward start options under affine jump-diffusion models (Q5001168) ‎ (← links)
• A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options (Q5014528) ‎ (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) ‎ (← links)
• A TOP-DOWN APPROACH FOR THE MULTIPLE EXERCISES AND VALUATION OF EMPLOYEE STOCK OPTIONS (Q5114675) ‎ (← links)
• Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) ‎ (← links)
• Approximate Wiener--Hopf Factorization and Monte Carlo Methods for Lévy Processes (Q5232086) ‎ (← links)
• Multivariate Lévy processes with dependent jump intensity (Q5245898) ‎ (← links)
• Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) ‎ (← links)
• FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191) ‎ (← links)
• American step-up and step-down default swaps under Lévy models (Q5746748) ‎ (← links)
• A de-singularized meshfree approach to default probability estimation under a regime-switching synchronous-jump tempered stable Lévy model (Q6040400) ‎ (← links)
• Arbitrage-Free Implied Volatility Surface Generation with Variational Autoencoders (Q6070669) ‎ (← links)
• A fast Monte Carlo scheme for additive processes and option pricing (Q6134302) ‎ (← links)