Pages that link to "Item:Q5941429"
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The following pages link to American option pricing under GARCH by a Markov chain approximation (Q5941429):
Displaying 27 items.
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables (Q336622) (← links)
- Financial applications of bivariate Markov processes (Q410357) (← links)
- On a Markov chain approximation method for option pricing with regime switching (Q747024) (← links)
- Joint tails impact in stochastic volatility portfolio selection models (Q827150) (← links)
- An empirical comparison of GARCH option pricing models (Q867119) (← links)
- Timing portfolio strategies with exponential Lévy processes (Q1722752) (← links)
- Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation (Q2098074) (← links)
- Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis (Q2136947) (← links)
- American option pricing under GARCH with non-normal innovations (Q2331384) (← links)
- Hedging Barrier Options in GARCH Models with Transaction Costs (Q2802880) (← links)
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity (Q2917427) (← links)
- AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION (Q2941065) (← links)
- Efficient Options Pricing Using the Fast Fourier Transform (Q3112474) (← links)
- Approximation of Dynamic Programs (Q3112476) (← links)
- (Q4407581) (← links)
- Option pricing under regime switching (Q4646774) (← links)
- Lattice-based hedging schemes under GARCH models (Q5014202) (← links)
- Numerical Methods for Integral Equations of the Second Kind with NonSmooth Solutions of Bounded Variation (Q5043631) (← links)
- A lattice approach for option pricing under a regime-switching GARCH-jump model (Q5051199) (← links)
- Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach (Q5165009) (← links)
- Model risk of the implied GARCH-normal model (Q5247942) (← links)
- APPLICATION OF MARKOV CHAIN MODELS FOR SHORT-TERM GENERATION ASSETS VALUATION (Q5291233) (← links)
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter (Q5292355) (← links)
- Johnson binomial trees (Q5300442) (← links)
- A NUMERICAL METHOD FOR PRICING AMERICAN-STYLE ASIAN OPTIONS UNDER GARCH MODEL (Q5386318) (← links)
- APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (Q5472775) (← links)
- On accurate and provably efficient GARCH option pricing algorithms (Q5697325) (← links)
