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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392
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Skewed Lévy models and implied volatility skew
Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
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Option pricing in affine generalized Merton models
Bayer, Christian; Schoenmakers, John - In: Advanced modelling in mathematical finance : in honour …, (pp. 219-239). 2016
Persistent link: https://www.econbiz.de/10011800363
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Volatility information difference between CDS, options, and the cross section of options returns
Guo, Biao; Shi, Yukun; Xu, Yaofei - In: Quantitative finance 20 (2020) 12, pp. 2025-2036
Persistent link: https://www.econbiz.de/10012313548
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Discrete-time quadratic hedging of barrier options in exponential Lévy model
Černý, Aleš - In: Advanced modelling in mathematical finance : in honour …, (pp. 257-275). 2016
Persistent link: https://www.econbiz.de/10011800380
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American and exotic options in a market with frictions
Junike, Gero; Arratia, Argimiro; Cabaña, Alejandra; … - In: The European journal of finance 26 (2020) 2/3, pp. 179-199
Persistent link: https://www.econbiz.de/10012207193
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Financial contagion and asset pricing
Fry-McKibbin, Renée; Martin, Vance; Tang, Chrismin - In: Journal of banking & finance 47 (2014), pp. 296-308
Persistent link: https://www.econbiz.de/10010506952