Pages that link to "Item:Q964688"

The following pages link to Computing exponential moments of the discrete maximum of a Lévy process and lookback options (Q964688):

Displaying 27 items.

• Additive subordination and its applications in finance (Q309162) (← links)
• Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options (Q322636) (← links)
• Fourier transform of lookback option price (Q420203) (← links)
• Fluctuation identities with continuous monitoring and their application to the pricing of barrier options (Q724078) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
• Optimal exercise boundary of American fractional lookback option in a mixed jump-diffusion fractional Brownian motion environment (Q1992912) (← links)
• Default probability of American lookback option in a mixed jump-diffusion model (Q2067180) (← links)
• Pricing some life-contingent lookback options under regime-switching Lévy models (Q2075983) (← links)
• Valuation of cliquet-style guarantees with death benefits (Q2083377) (← links)
• A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation (Q2165398) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Hilbert transform, spectral filters and option pricing (Q2288941) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• <i>Z</i>-Transform and preconditioning techniques for option pricing (Q2873557) (← links)
• On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process (Q3108472) (← links)
• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering (Q3191822) (← links)
• EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL (Q4902546) (← links)
• Error Bounds for Small Jumps of Lévy Processes (Q4915651) (← links)
• A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
• Computable Error Bounds of Laplace Inversion for Pricing Asian Options (Q5137949) (← links)
• Pricing methods for <i>α</i>-quantile and perpetual early exercise options based on Spitzer identities (Q5139204) (← links)
• Lookback option pricing using the Fourier transform B-spline method (Q5245351) (← links)
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications (Q5247114) (← links)
• TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS (Q5416704) (← links)
• Option Pricing in Some Non-Lévy Jump Models (Q5739799) (← links)
• Efficient evaluation of double-barrier options (Q6633865) (← links)