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