Pages that link to "Item:Q3639926"

The following pages link to Saddlepoint methods for option pricing (Q3639926):

Displaying 29 items.

• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility (Q261928) (← links)
• Order estimates for the exact Lugannani-Rice expansion (Q263055) (← links)
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• The large-maturity smile for the Heston model (Q484212) (← links)
• FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility (Q902968) (← links)
• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing (Q1624661) (← links)
• Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (Q1630666) (← links)
• Approximation of CVaR minimization for hedging under exponential-Lévy models (Q2012597) (← links)
• Calibration and simulation of Heston model (Q2364763) (← links)
• Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market (Q2666233) (← links)
• Asymptotic formulae for implied volatility in the Heston model (Q2997309) (← links)
• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering (Q3191822) (← links)
• Saddlepoint Approximation Methods for Pricing Derivatives on Discrete Realized Variance (Q4585899) (← links)
• Semi-analytical Pricing of Currency Options in the Heston/CIR Jump-Diffusion Hybrid Model (Q4682470) (← links)
• Pitfalls of the Fourier Transform Method in Affine Models, and Remedies (Q4682701) (← links)
• NEARLY EXACT OPTION PRICE SIMULATION USING CHARACTERISTIC FUNCTIONS (Q4902542) (← links)
• EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
• SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497) (← links)
• Pricing electricity day-ahead cap futures with multifactor skew-t densities (Q5079374) (← links)
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model (Q5093724) (← links)
• Simulating random variables using moment-generating functions and the saddlepoint approximation (Q5219231) (← links)
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications (Q5247114) (← links)
• Pricing of foreign exchange options under the Heston stochastic volatility model and CIR interest rates (Q5397431) (← links)
• HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
• Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225) (← links)
• Saddlepoint approximations to tail expectations under non-Gaussian base distributions: option pricing applications (Q5861401) (← links)
• The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives (Q5879356) (← links)
• Computation of VaR for portfolios in intensity models (Q6579756) (← links)
• Pricing vulnerable lookback options using Laplace transforms (Q6581980) (← links)