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Parallel option pricing with Fourier space time-stepping method on graphics processing units
8 references·0 citing·30 second hopsampled
Parallel option pricing with Fourier space time-stepping method on graphics processing units (2010)Parallel option pricing with Fourier spac…Fourier space time-stepping for option pricing with Lévy models (2008)Fourier space time-stepping f…A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)A Fast and Accurate FFT-Based…Catastrophe options with stochastic interest rates and compound Poisson losses (2006)Catastrophe options with stoc…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Numerical valuation of options with jumps in the underlying (2004)Numerical valuation of option…A penalty method for American options with jump diffusion processes (2004)A penalty method for American…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)A Fourier Transform Method for Spread Option Pricing (2010)A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)Option pricing when underlying stock returns are discontinuous (1976)A Jump-Diffusion Model for Option Pricing (2002)Integro-differential equations for option prices in exponential Lévy models (2005)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)“Options, Futures, and Other Derivatives” (2016)Martingales and stochastic integrals in the theory of continuous trading (1981)Extreme Value Theory as a Risk Management Tool (1999)Indifference prices of structured catastrophe (CAT) bonds (2007)Pricing catastrophe swaps: A contingent claims approach (2011)Pricing catastrophe risk bonds: A mixed approximation method (2013)Financial Modelling with Jump Processes (2003)Stochastic Integration and Differential Equations (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Methods for Pricing American Options under Regime Switching (2011)A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2012)Spitzer Identity, Wiener-Hopf Factorization and Pricing of Discretely Monitored Exotic Options (2015)Robust numerical methods for contingent claims under jump diffusion processes (2004)Brownian Motion and Stochastic Calculus (2007)Efficient solution of a partial integro-differential equation in finance (2007)Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model (2008)
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References

  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
  • 2004Numerical valuation of options with jumps in the underlying162 cited
  • 2008Fourier space time-stepping for option pricing with Lévy models139 cited
  • 2006Catastrophe options with stochastic interest rates and compound Poisson losses113 cited

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