AMERICAN OPTIONS UNDER JUMP-DIFFUSION PROCESSES: FOURIER TRANSFORM APPROACH & METHOD OF LINES APPROACH

AMERICAN OPTIONS UNDER JUMP-DIFFUSION PROCESSES: FOURIER TRANSFORM APPROACH & METHOD OF LINES APPROACH

Bachelor's

Saved in:

書目詳細資料
主要作者:	LIU SIYANG
其他作者:	MATHEMATICS
格式:	Theses and Dissertations
出版:	2021
在線閱讀:	https://scholarbank.nus.edu.sg/handle/10635/202642
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

AMERICAN CALL OPTIONS UNDER JUMP DIFFUSION PROCESS
由: LIU XIRUI
出版: (2021)

PRICING AMERICAN OPTIONS BY WILLOW TREE METHOD UNDER JUMP-DIFFUSION PROCESS
由: TAN SHI YING
出版: (2021)

APPLICATION OF THE IMPROVED FAST GAUSS TRANSFORM TO OPTION PRICING UNDER JUMP DIFFUSION PROCESSES
由: LI LUOYING
出版: (2021)

Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
由: Shuang Li, et al.
出版: (2018)

A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics
由: Garces, Len Patrick Dominic M, et al.
出版: (2021)

A HIGH-ORDER FRONT-TRACKING FINITE DIFFERENCE METHOD FOR PRICING AMERICAN OPTIONS UNDER JUMP-DIFFUSION MODELS
由: PAN LI'AN
出版: (2021)

A FAST FOURIER TRANSFORM TECHNIQUE FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
由: ZHAN YINGBO
出版: (2021)

FAST SIMULATION OF JUMP-DIFFUSION PROCESSES AND BARRIER OPTIONS
由: CHEN ZENGHUI
出版: (2021)

FOURIER TRANSFORM METHOD FOR OPTION PRICING
由: VARUN MALIK
出版: (2021)

USING BROWNIAN BRIDGE FOR MONTE CARLO SIMULATION OF BARRIER OPTIONS UNDER JUMP DIFFUSION PROCESSES
由: LI YUE
出版: (2021)

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
由: Cheang, Gerald H L, et al.
出版: (2019)

VIX OPTION IN A JUMP-DIFFUSION MODEL
由: LI JIANGTAO
出版: (2021)

CREDIT RISK - A JUMP-DIFFUSION APPROACH
由: ALICE QUINTINA SURYASENTANA
出版: (2021)

An Analytical Approach to Pricing American Options under Stochastic Volatility
由: ZHANG, Zhe (Joe), et al.
出版: (1999)

DISCRETE TIME JUMP DIFFUSION MODEL FOR OPTION PRICING
由: LI XIAOXI
出版: (2021)

DISCRETE BARRIER OPTION PRICING IN JUMP-DIFFUSION MODEL
由: CHEN YANHUAN
出版: (2021)

OPTION PRICING WITH MERTON JUMP DIFFUSION AND VARIANCE GAMMA
由: RONALD LAI YI FEI
出版: (2021)

Equilibrium-based valuation of option prices in jump-diffusion models
由: Huang, Hua Mei
出版: (2010)

Jump Diffusion model for barrier option pricing with stochastic volatility
由: ALIMANSYAH (NIM: 20915004), ARFIAN

OPTION VALUATION USING FAST FOURIER TRANSFORMATION
由: LIN HAN
出版: (2021)

SPREAD OPTION VALUATION AND THE FAST FOURIER TRANSFORM
由: LUQMAN-NUL HAKIM B M LUKMAN
出版: (2021)

SPREAD OPTION VALUATION AND THE FAST FOURIER TRANSFORM
由: YEO TUN SENG
出版: (2021)

OPTION PRICING USING FAST FOURIER TRANSFORM
由: TIAN YUAN
出版: (2021)

MODELING MBS UNDER A JUMP-DIFFUSION HOUSE PRICE PROCESS
由: MA LI
出版: (2021)

PERPETUAL AMERICAN OPTIONS AND REAL OPTIONS UNDER MEAN-REVERTING PROCESSES
由: LIN NAN
出版: (2021)

UTILITY INDIFFERENCE PRICING UNDER JUMP DIFFUSION
由: SHI CONG
出版: (2021)

TRANSFORM ANALYSIS AND ASSET PRICING FOR AFFINE JUMP-DIFFUSION
由: SU HANG
出版: (2021)

A Fast Fourier Transform Approach for On-Line Monitoring of the Maximum Closed-Loop Log Modulus
由: Ju, J., et al.
出版: (2014)

VALUATION EUROPEAN OPTION USING THE FAST FOURIER TRANSFORM
由: (NIM: 20105002); Pembimbing: Dr. Kuntjoro Adji Sidarto, OKTAVIA

OPERATOR SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
由: LIU SHUO
出版: (2021)

OPTION PRICING WITH JUMPS
由: LI ZIYE
出版: (2021)

Wasserstein distance estimates for jump-diffusion processes
由: Breton, Jean-Christophe, et al.
出版: (2024)

VOLATILITY DERIVATIVES UNDER DOUBLE EXPONENTIAL JUMP DIFFUSION MODEL
由: WANG YU
出版: (2021)

Modeling risky asset prices with jump-diffusion processes
由: Jiang, Meiling, et al.
出版: (2008)

PRICING FINITE-MATURITY DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS: FROM FAST FOURIER TRANSFORM TO FAST HILBERT TRANSFORM
由: WEN XIN
出版: (2021)

Fourier transform-based k·p method : an approach to meshless modeling of low-dimensional heterostructures
由: Mei, Ting, et al.
出版: (2013)

Signal processing methods based on the local polynomial fourier transform
由: Li, Xiu Mei
出版: (2010)

EFFICIENT NUMERICAL METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
由: WU MENGZE
出版: (2021)

PARAMETER ESTIMATION OF JUMP DIFFUSION PROCESSES BASED ON EMPIRICAL LIKELIHOOD
由: ZHANG YAQUAN
出版: (2021)

SIMULATION IN JUMP DIFFUSION MODELS
由: TAN GUAN LONG
出版: (2021)