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Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options
13 references·10 citing·38 second hop
Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Using Brownian Bridge for Fast Simulation…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…First passage times of a jump diffusion process (2003)First passage times of a jump…Optimal stopping and perpetual options for Lévy processes (2002)Optimal stopping and perpetua…Barrier options and touch-and-out options under regular Lévy processes of exponential type (2002)Barrier options and touch-and…Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…William S. Pfeiffer, Technical Writing: A Practical Approach (3rd Ed.). Englewood Cliffs, NJ: Prentice-hall, 1997 [Book Review] (1997)William S. Pfeiffer, Technica…Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Optimal Stopping, Free Bounda…A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…COS method for option pricing under a regime-switching model with time-changed Lévy processes (2018)COS method for option pricing…Risk Estimation via Regression (2015)Risk Estimation via RegressionThe Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk (2014)The Valuation of Catastrophe …Finite-Element Methods (2012)Finite-Element MethodsCredit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk (2011)Credit Calibration with Struc…Pricing double-barrier options under a flexible jump diffusion model (2009)Pricing double-barrier option…Fast and accurate pricing of barrier options under Lévy processes (2009)Fast and accurate pricing of …Modeling Default Dependence with Threshold Models (2005)Modeling Default Dependence w…Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes (2005)Efficient Estimation of First…Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model (2004)Credit Default Swap Calibrati…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach (2003)Stochastic Integration and Differential Equations (2005)PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH (2008)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Theory of rational option pricing (2005)Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Value at Risk (2000)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Connecting discrete and continuous path-dependent options (1999)Improved Multilevel Monte Carlo Convergence using the Milstein Scheme (2007)Design of computer experiments: A review (2017)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 2002Optimal stopping and perpetual options for Lévy processes233 cited
  • 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model189 cited
  • 2002Barrier options and touch-and-out options under regular Lévy processes of exponential type144 cited
  • 1997William S. Pfeiffer, Technical Writing: A Practical Approach (3rd Ed.). Englewood Cliffs, NJ: Prentice-hall, 1997 [Book Review]127 cited

Cited by

  • 2015Risk Estimation via Regression94 cited
  • 2009Fast and accurate pricing of barrier options under Lévy processes

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88 cited
  • 2009Pricing double-barrier options under a flexible jump diffusion model56 cited
  • 2012Finite-Element Methods46 cited
  • 2004Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model45 cited
  • 2018COS method for option pricing under a regime-switching model with time-changed Lévy processes40 cited
  • 2005Modeling Default Dependence with Threshold Models32 cited
  • 2011Credit Calibration with Structural Models and Equity Return Swap Valuation under Counterparty Risk29 cited
  • 2005Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes26 cited
  • 2014The Valuation of Catastrophe Bonds with Exposure to Currency Exchange Risk26 cited