Pages that link to "Item:Q3635184"
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The following pages link to Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (Q3635184):
Displaying 50 items.
- Additive subordination and its applications in finance (Q309162) (← links)
- Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
- High-order approximation of Pearson diffusion processes (Q413731) (← links)
- Pricing equity default swaps under the jump-to-default extended CEV model (Q483933) (← links)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
- A jump to default extended CEV model: an application of Bessel processes (Q854279) (← links)
- Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Pricing double barrier options under a volatility regime-switching model with psychological barriers (Q1627631) (← links)
- Pure jump models for pricing and hedging VIX derivatives (Q1655664) (← links)
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable (Q1681278) (← links)
- Analytical representations for the basic affine jump diffusion (Q1785484) (← links)
- Constant elasticity of variance models with target zones (Q2164570) (← links)
- Efficient exponential timestepping algorithm using control variate technique for simulating a functional of exit time of one-dimensional Brownian diffusion with applications in finance (Q2211897) (← links)
- Systematic equity-based credit risk: A CEV model with jump to default (Q2271610) (← links)
- Classes of elementary function solutions to the CEV model I (Q2315817) (← links)
- A stochastic model for cell adhesion to the vascular wall (Q2330629) (← links)
- Functional Ross recovery: theoretical results and empirical tests (Q2338541) (← links)
- Barrier option pricing under the 2-hypergeometric stochastic volatility model (Q2406299) (← links)
- Local time and the pricing of path-dependent options (Q2430252) (← links)
- Optimal stopping in infinite horizon: an eigenfunction expansion approach (Q2446714) (← links)
- Spectral binomial tree: new algorithms for pricing barrier options (Q2448315) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- Ornstein-Uhlenbeck processes time changed with additive subordinators and their applications in commodity derivative models (Q2450704) (← links)
- A note on the CIR process and the existence of equivalent martingale measures (Q2482116) (← links)
- Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing (Q2806062) (← links)
- THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE (Q2806367) (← links)
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS (Q2831000) (← links)
- EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING (Q2831002) (← links)
- New analytical option pricing models with Weyl–Titchmarsh theory (Q2873531) (← links)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
- Statistical Inference for Student Diffusion Process (Q3068099) (← links)
- TIME-CHANGED MARKOV PROCESSES IN UNIFIED CREDIT-EQUITY MODELING (Q3161734) (← links)
- Double knock-out Asian barrier options which widen or contract as they approach maturity (Q3395741) (← links)
- SELF EXCITING THRESHOLD INTEREST RATES MODELS (Q3421826) (← links)
- The square-root process and Asian options (Q3437388) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- INTENSITY‐BASED VALUATION OF RESIDENTIAL MORTGAGES: AN ANALYTICALLY TRACTABLE MODEL (Q3502165) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- A Class of Homothetic Forward Investment Performance Processes with Non-zero Volatility (Q4561947) (← links)
- Option Pricing in a One-Dimensional Affine Term Structure Model via Spectral Representations (Q4579836) (← links)
- Option pricing with Weyl–Titchmarsh theory (Q4610252) (← links)
- On a semi-spectral method for pricing an option on a mean-reverting asset (Q4646794) (← links)
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE (Q4653015) (← links)
- Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model (Q4683115) (← links)
- The spectral representation of Bessel processes with constant drift: applications in queueing and finance (Q4819461) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
- Ross recovery with recurrent and transient processes (Q5001163) (← links)
- Markov chain approximation of one-dimensional sticky diffusions (Q5022266) (← links)
