Pages that link to "Item:Q964692"

The following pages link to Smart expansion and fast calibration for jump diffusions (Q964692):

Displaying 31 items.

• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
• A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process (Q747194) (← links)
• Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process (Q1756743) (← links)
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
• Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models (Q1938114) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• Positive solutions of European option pricing with CGMY process models using double discretization difference schemes (Q2015694) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• A family of density expansions for Lévy-type processes (Q2258531) (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
• Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods (Q2292056) (← links)
• Weak approximation of averaged diffusion processes (Q2434489) (← links)
• Linear regression MDP scheme for discrete backward stochastic differential equations under general conditions (Q2792367) (← links)
• Small time central limit theorems for semimartingales with applications (Q2804007) (← links)
• Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
• Forward implied volatility expansion in time-dependent local volatility models (Q3465135) (← links)
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186) (← links)
• Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
• New Approximations in Local Volatility Models (Q4561938) (← links)
• Approximate indifference pricing in exponential Lévy models (Q4585675) (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
• Approximate Option Pricing in the Lévy Libor Model (Q4976512) (← links)
• EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION (Q4979883) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Asymptotics of Forward Implied Volatility (Q5250047) (← links)
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• Large-maturity regimes of the Heston forward smile (Q5965371) (← links)