SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multi‐step reflection principle and barrier options
16 references·0 citing·36 second hop
Multi‐step reflection principle and barrier options (2022)Multi‐step reflection principle and barri…Monte Carlo Methods and Models in Finance and Insurance (2010)Monte Carlo Methods and Model…Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model (2007)Pricing Options Under a Gener…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Lévy Processes in Finance (2003)Lévy Processes in FinanceFinancial Modelling with Jump Processes (2003)Financial Modelling with Jump…Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options (2002)Using Brownian Bridge for Fas…Valuing Equity-Indexed Annuities (2000)Valuing Equity-Indexed Annuit…Pricing contingent claims on stocks driven by Lévy processes (1999)Pricing contingent claims on …A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing (1998)A Comparison of Some Monte Ca…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …No-arbitrage, change of measure and conditional Esscher transforms (1996)No-arbitrage, change of measu…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)The concept of comonotonicity in actuarial science and finance: applications (2002)Option pricing and Esscher transform under regime switching (2005)A Quantitative Comparison of Stochastic Mortality Models Using Data From England and Wales and the United States (2009)Theory of Rational Option Pricing (1973)A Continuity Correction for Discrete Barrier Options (1997)Static Hedging of Exotic Options (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Portfolio Selection with Transaction Costs (1990)Zipf's Law for Cities: An Explanation (1999)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2003Lévy Processes in Finance1,192 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,098 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 1997The Complete Guide to Option Pricing Formulas537 cited
  • 1999Pricing contingent claims on stocks driven by Lévy processes282 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1996No-arbitrage, change of measure and conditional Esscher transforms174 cited
  • 2010Monte Carlo Methods and Models in Finance and Insurance165 cited
  • 1998A Comparison of Some Monte Carlo and Quasi Monte Carlo Techniques for Option Pricing154 cited
  • 2000Valuing Equity-Indexed Annuities111 cited
  • 2007Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model107 cited
  • 2002Using Brownian Bridge for Fast Simulation of Jump-Diffusion Processes and Barrier Options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

106 cited

Cited by

No citing works inside the corpus for this window.