Pages that link to "Item:Q5452379"
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The following pages link to Option pricing when underlying stock returns are discontinuous (Q5452379):
Displaying 50 items.
- Pricing variance swaps under stochastic volatility with an Ornstein-Uhlenbeck process (Q256762) (← links)
- On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
- Structural credit risk modelling with Hawkes jump diffusion processes (Q269364) (← links)
- MCMC maximum likelihood for latent state models (Q276938) (← links)
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
- Saddlepoint approximations for continuous-time Markov processes (Q278194) (← links)
- SABR/LIBOR market models: pricing and calibration for some interest rate derivatives (Q279498) (← links)
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model (Q282291) (← links)
- Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (Q285995) (← links)
- A geometric Lévy model for \(n\)-fold compound option pricing in a fuzzy framework (Q289315) (← links)
- Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility (Q291114) (← links)
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- A framework of the harmonic Arnoldi method for evaluating \(\varphi\)-functions with applications to exponential integrators (Q295370) (← links)
- Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach (Q295396) (← links)
- Robust option pricing (Q297417) (← links)
- Positive finite difference schemes for a partial integro-differential option pricing model (Q298605) (← links)
- Risk premia in option markets (Q300692) (← links)
- Radner equilibrium in incomplete Lévy models (Q300843) (← links)
- A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects (Q302183) (← links)
- Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes (Q315041) (← links)
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation (Q316424) (← links)
- A fast calibrating volatility model for option pricing (Q319158) (← links)
- The implication of missing the optimal-exercise time of an American option (Q319234) (← links)
- A discontinuous mispricing model under asymmetric information (Q319248) (← links)
- Electricity futures price models: calibration and forecasting (Q319946) (← links)
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach (Q320989) (← links)
- Investment and financing for SMEs with a partial guarantee and jump risk (Q321131) (← links)
- A radial basis function based implicit-explicit method for option pricing under jump-diffusion models (Q321380) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- Incomplete financial markets and jumps in asset prices (Q324352) (← links)
- A hyper-Erlang jump-diffusion process and applications in finance (Q328100) (← links)
- Estimation of parameters of the Samuelson model with telegraph drift (Q328745) (← links)
- Reliability computing and management considering the network traffic for a cloud computing (Q331842) (← links)
- Stochastic \(H_{2}/H_{\infty}\) control for Poisson jump-diffusion systems (Q335028) (← links)
- Pricing and hedging basket options with exact moment matching (Q343968) (← links)
- Second order convex splitting schemes for periodic nonlocal Cahn-Hilliard and Allen-Cahn equations (Q349589) (← links)
- Optimal capital structure with an equity-for-guarantee swap (Q356603) (← links)
- Exact solutions for bond and option prices with systematic jump risk (Q375236) (← links)
- Discrete-time bond and option pricing for jump-diffusion processes (Q375257) (← links)
- Term structure modelling of defaultable bonds (Q375366) (← links)
- Calibration and hedging under jump diffusion (Q375525) (← links)
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
- Catastrophe equity put options under stochastic volatility and catastrophe-dependent jumps (Q380540) (← links)
- A fast stationary iterative method for a partial integro-differential equation in pricing options (Q385437) (← links)
- A lattice model for option pricing under GARCH-jump processes (Q385653) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
