Similar Search Results

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Itkin, Andrey; Carr, Peter - In: Computational Economics 40 (2012) 1, pp. 63-104

Persistent link: https://www.econbiz.de/10010866869

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of Derivatives Research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008526467

Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-177

Persistent link: https://www.econbiz.de/10008424177

Using Pseudo-Parabolic and Fractional Equations for Option Pricing in Jump Diffusion Models

Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-105

Persistent link: https://www.econbiz.de/10009977724

Pricing swaps and options on quadratic variation under stochastic time change models : discrete observations case

Itkin, Andrey; Carr, Peter - In: Review of derivatives research 13 (2010) 2, pp. 141-176

Persistent link: https://www.econbiz.de/10008695493

Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models

Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104

Persistent link: https://www.econbiz.de/10009627499

An expanded Local Variance Gamma model

Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987

Persistent link: https://www.econbiz.de/10012543243

Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process

Carr, Peter; Itkin, Andrey - In: The journal of derivatives : JOD 29 (2021) 1, pp. 9-26

Persistent link: https://www.econbiz.de/10012612941

Semi-analytical pricing of barrier options in the time-dependent Heston model

Carr, Peter; Itkin, Andrey; Muravey, Dmitry - 2022

Persistent link: https://www.econbiz.de/10014231115

Efficient solution of structural default models with correlated jumps and mutual obligations

Itkin, Andrey; Lipton, Alexander - arXiv.org - 2014

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional problem is made tractable via a novel computational...

Persistent link: https://www.econbiz.de/10011082326