Pages that link to "Item:Q4610266"
From MaRDI portal
The following pages link to From local volatility to local Lévy models (Q4610266):
Displaying 14 items.
- Option pricing under some Lévy-like stochastic processes (Q617036) (← links)
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
- An explicit martingale version of the one-dimensional Brenier's theorem with full marginals constraint (Q737181) (← links)
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models (Q952085) (← links)
- Some results on Skorokhod embedding and robust hedging with local time (Q1626510) (← links)
- Reconstruction of the time-dependent volatility function using the Black-Scholes model (Q1727049) (← links)
- Option pricing in illiquid markets: a fractional jump-diffusion approach (Q2195887) (← links)
- Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations (Q2224954) (← links)
- Optimal importance sampling for Lévy processes (Q2289777) (← links)
- On Skorokhod embeddings and Poisson equations (Q2330463) (← links)
- Forward equations for option prices in semimartingale models (Q2516772) (← links)
- Numerical Analysis of Additive, Lévy and Feller Processes with Applications to Option Pricing (Q3079739) (← links)
- Time since maximum of Brownian motion and asymmetric Lévy processes (Q4686779) (← links)
- Supermartingale Brenier's theorem with full-marginals constraint (Q6134136) (← links)
