Shatin, New Territories
The Chinese University of Hong Kong
Diffusions, Jumps, Markov Chain, Non-Uniform Grids, Convergence Rate, Smooth Convergence, Extrapolation, Spectral Representation, Non-Smooth Payoffs
diffusions, subordination, Markov chain approximation, finite difference, spectral representation, convergence rate, European and barrier options, non-smooth payoffs, smoothing techniques
first passage times, barrier options, diffusions, Bochner's subordination,eigenfunction expansions
optimal stopping, American options, eigenfunction expansions
time dependency, time change, Bochner's subordination, additive subordination,diffusions, jumps, derivative pricing, spread options
optimal switching and optimal multiple stopping, diffusions and subordinate diffusions, eigenfunction expansions, interest-rate chooser flexible caps/floors, commodity swing options, real options.
Basic Affine Jump Diffusion, subordination, transition density
electricity spot prices, electricity futures and futures options, spikes, mean-reversion, seasonality, stochastic time change, Laplace transform
jump processes, option pricing, time change, finite difference, matrix eigendecomposition
interest rate models, callable bonds, options embedded in bonds, optimal stopping, stochastic games, eigenfunction expansions, option pricing, stochastic time changes
Default risk; Distance to default; Systematic stress scenario; Credit rating; Credit derivative
Markov chain approximation; non-smooth coefficients; error analysis
drawdown, optimal stopping, Russian options, American lookback options, Markov chain approximation, Laplace transform, variational inequality, linear complementarity problem.
Parisian Stopping Time, Parisian Option, Laplace Transform
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convergence rate, diffusions, European and barrier options, finite difference, Markov chain approximation, nonsmooth payoffs, smoothing techniques, spectral representation, subordination
Diffusion models, nonsmooth coefficients, convergence rate, finite difference, grid design
Hilbert Transform, Sinc Expansion, Levy Processes, Barrier Options, Credit Risk, Survival Probability
Commodity derivatives, Additive processes, Time change Ornstein-Uhlenbeck, Time-dependent and mean-reverting jumps, Eigenfunction expansions
commodity derivatives, mean-reverting jumps, eigenfunction expansion
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