Pages that link to "Item:Q5388671"
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The following pages link to A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (Q5388671):
Displaying 50 items.
- Numerical Fourier method and second-order Taylor scheme for backward SDEs in finance (Q256112) (← links)
- A comparative study on time-efficient methods to price compound options in the Heston model (Q316625) (← links)
- The evaluation of barrier option prices under stochastic volatility (Q356102) (← links)
- An analytical approximation for single barrier options under stochastic volatility models (Q1621902) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- Semi-analytical method for the pricing of barrier options in case of time-dependent parameters (with Matlab\(^\circledR\) codes) (Q1642274) (← links)
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (Q1655511) (← links)
- Pricing extendible options using the fast Fourier transform (Q1719223) (← links)
- A general framework for pricing Asian options under stochastic volatility on parallel architectures (Q1991237) (← links)
- Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136) (← links)
- A Fourier-cosine method for finite-time ruin probabilities (Q2038248) (← links)
- Enhancing finite difference approximations for double barrier options: mesh optimization and repeated Richardson extrapolation (Q2051161) (← links)
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization (Q2078260) (← links)
- Precise option pricing by the COS method -- how to choose the truncation range (Q2079122) (← links)
- Pricing of spread and exchange options in a rough jump-diffusion market (Q2088861) (← links)
- A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model (Q2131630) (← 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 Fourier-cosine method for pricing discretely monitored barrier options under stochastic volatility and double exponential jump (Q2209214) (← links)
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection (Q2219586) (← links)
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options (Q2243318) (← links)
- Deep learning for CVA computations of large portfolios of financial derivatives (Q2244169) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Highly efficient Shannon wavelet-based pricing of power options under the double exponential jump framework with stochastic jump intensity and volatility (Q2247115) (← links)
- Efficient pricing of European options on two underlying assets by frame duality (Q2304872) (← links)
- Fourier-cosine method for ruin probabilities (Q2515094) (← links)
- SIMPLIFIED HEDGE FOR PATH-DEPENDENT DERIVATIVES (Q2836214) (← links)
- EFFICIENT COMPUTATION OF EXPOSURE PROFILES FOR COUNTERPARTY CREDIT RISK (Q2874730) (← links)
- A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
- FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS (Q3460680) (← links)
- Jumps and stochastic volatility in crude oil prices and advances in average option pricing (Q4554251) (← links)
- Singular Fourier–Padé series expansion of European option prices (Q4554487) (← links)
- Calculation of Exposure Profiles and Sensitivities of Options under the Heston and the Heston Hull-White Models (Q4604870) (← links)
- Magic Points in Finance: Empirical Integration for Parametric Option Pricing (Q4607050) (← links)
- Optimal Initiation of Guaranteed Lifelong Withdrawal Benefit with Dynamic Withdrawals (Q4607051) (← links)
- The COS method for option valuation under the SABR dynamics (Q4641563) (← links)
- Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes (Q4682477) (← links)
- ADI Schemes for Pricing American Options under the Heston Model (Q4682480) (← links)
- Stochastic volatility double-jump-diffusions model: the importance of distribution type of jump amplitude (Q4976303) (← links)
- Fourier-Cosine Method for Finite-Time Gerber--Shiu Functions (Q4997380) (← links)
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME (Q5010071) (← links)
- A stochastic local volatility technique for TARN options (Q5030544) (← links)
- A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557) (← links)
- Stationary Heston model: calibration and pricing of exotics using product recursive quantization (Q5079352) (← links)
- A SEMI-ANALYTICAL PRICING FORMULA FOR EUROPEAN OPTIONS UNDER THE ROUGH HESTON-CIR MODEL (Q5112597) (← links)
- Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series (Q5139233) (← links)
- Uncertainty Quantification of Derivative Instruments (Q5372104) (← links)
- Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
- AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) (← links)
