Pages that link to "Item:Q4903748"

The following pages link to Two-Dimensional Fourier Cosine Series Expansion Method for Pricing Financial Options (Q4903748):

Displaying 50 items.

• Pricing and hedging European-style options in Lévy-based stochastic volatility models considering the leverage effect (Q252930) (← links)
• The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks (Q668683) (← links)
• Radial basis function partition of unity operator splitting method for pricing multi-asset American options (Q727900) (← links)
• Efficient numerical Fourier methods for coupled forward-backward SDEs (Q898981) (← links)
• Recombined multinomial tree based on saddle-point approximation and its application to Lévy models options pricing (Q1624661) (← links)
• Spectral element method for parabolic initial value problem with non-smooth data: analysis and application (Q1691404) (← links)
• Estimating the discounted density of the deficit at ruin by Fourier cosine series expansion (Q1726860) (← links)
• Volatility swaps and volatility options on discretely sampled realized variance (Q1991924) (← links)
• A fast preconditioned iterative method for two-dimensional options pricing under fractional differential models (Q2004502) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
• Pricing American options by a Fourier transform multinomial tree in a conic market (Q2088436) (← links)
• Valuation of a DB underpin hybrid pension under a regime-switching Lévy model (Q2088855) (← links)
• Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model (Q2097450) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Estimating the time value of ruin in a Lévy risk model under low-frequency observation (Q2138620) (← links)
• Binomial tree method for option pricing: discrete cosine transform approach (Q2140059) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations (Q2166927) (← links)
• A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
• Semi-analytical prices for lookback and barrier options under the Heston model (Q2292063) (← links)
• Estimating the Gerber-Shiu function in a compound Poisson risk model with stochastic premium income (Q2296513) (← links)
• Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
• Two-dimensional Shannon wavelet inverse Fourier technique for pricing European options (Q2397063) (← links)
• High-order ADI scheme for option pricing in stochastic volatility models (Q2406630) (← links)
• High-order compact finite difference scheme for option pricing in stochastic volatility jump models (Q2423603) (← links)
• A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions (Q2656684) (← links)
• Fractional factorial designs for Fourier-cosine models (Q2696333) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• Pricing Bermudan options under Merton jump-diffusion asset dynamics (Q2804498) (← links)
• An efficient pricing method for rainbow options based on two-dimensional modified sine–sine series expansions (Q2855742) (← links)
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION (Q2941062) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options (Q3464429) (← links)
• Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method (Q4554481) (← links)
• APPROXIMATING THE DENSITY OF THE TIME TO RUIN VIA FOURIER-COSINE SERIES EXPANSION (Q4563791) (← links)
• COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK (Q4602499) (← links)
• Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models (Q4626509) (← links)
• The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates (Q4682998) (← links)
• Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380) (← links)
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions (Q5031759) (← links)
• VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY (Q5056604) (← links)
• Rational Models for Inflation-Linked Derivatives (Q5144182) (← links)
• ALGORITHMIC COUNTERPARTY CREDIT EXPOSURE FOR MULTI-ASSET BERMUDAN OPTIONS (Q5245884) (← links)
• A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (Q5254475) (← links)
• Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
• Pricing two-asset rainbow options with the fast Fourier transform (Q6112085) (← links)
• High-order methods for the option pricing under multivariate rough volatility models (Q6161539) (← links)