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Year of publication
Subject
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Lévy process 208 Stochastischer Prozess 125 Stochastic process 122 Option pricing theory 112 Optionspreistheorie 112 Levy process 94 Theorie 43 Levy-Prozess 40 Theory 40 Volatility 38 Volatilität 38 Option trading 29 Optionsgeschäft 29 Portfolio selection 23 Portfolio-Management 23 Statistical distribution 22 Statistische Verteilung 22 Stochastic volatility 21 Lévy-Prozess 18 Derivat 16 Derivative 16 Hedging 15 Option pricing 15 Risiko 15 Zeitreihenanalyse 15 stochastic volatility 15 Mathematical finance 14 Risk 14 option pricing 14 Time series analysis 13 CAPM 12 Finanzmathematik 12 Risk model 11 Risk premium 11 Markov chain 10 Risikomodell 10 Credit derivative 9 Credit risk 9 Esscher transform 9 Kreditderivat 9
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Online availability
All
Undetermined 164 Free 120 CC license 7
Type of publication
All
Article 216 Book / Working Paper 117 Other 1
Type of publication (narrower categories)
All
Article in journal 117 Aufsatz in Zeitschrift 117 Working Paper 30 Graue Literatur 26 Non-commercial literature 26 Arbeitspapier 19 Hochschulschrift 15 Thesis 14 Article 11 Bibliografie 2 Collection of articles written by one author 2 Dissertation u.a. Prüfungsschriften 2 Sammlung 2 Collection of articles of several authors 1 Conference paper 1 Konferenzbeitrag 1 Lehrbuch 1 Sammelwerk 1 research-article 1
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Language
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English 206 Undetermined 123 German 2 French 2 Czech 1
Author
All
Barndorff-Nielsen, Ole E. 11 Shephard, Neil 10 Aguilar, Jean-Philippe 9 Kim, Young Shin 9 Chen, Yu-Fu 7 Funke, Michael 7 Abbring, Jaap H. 6 Klüppelberg, Claudia 6 Schoutens, Wim 5 Seo, Sang Byung 5 Campbell, John Y. 4 Carr, Peter 4 Cont, Rama 4 Haug, Stephan 4 Korbel, Jan 4 Madan, Dilip 4 Maller, Ross A. 4 Martin, Ian 4 Mittnik, Stefan 4 Tankov, Peter 4 Wachter, Jessica 4 Yamazaki, Akira 4 Benth, Fred Espen 3 Dong, Chaohua 3 Ferrari, Giorgio 3 Gao, Jiti 3 Goutte, Stéphane 3 Griffin, Philip S. 3 Kappus, Johanna 3 Kirkby, Justin Lars 3 Lee, Roger 3 Li, Shu 3 Pagliarani, Stefano 3 Palmowski, Zbigniew 3 Papantonis, Ioannis 3 Polimenis, Vassilis 3 Račev, Svetlozar T. 3 Salminen, Paavo 3 Al-Hadad, Jonas 2 Andersen, Lars 2
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 9 Department of Economics, Oxford University 6 EconWPA 3 Economics Group, Nuffield College, University of Oxford 3 National Bureau of Economic Research 3 Department of Econometrics and Business Statistics, Monash Business School 2 Department of Economics Studies, University of Dundee 2 HAL 2 Judge Institute of Management Studies 2 CESifo 1 Christian-Albrechts-Universität zu Kiel 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Department of Economics, Florida International University 1 Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento 1 Duke University, Department of Economics 1 Eric Cuvillier <Firma> 1 Finance Research Centre, Oxford University 1 Institut für Makroökonomie und Wirtschaftspolitik, Fachbereich Volkswirtschaftslehre 1 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 London School of Economics (LSE) 1 School of Economics and Management, University of Aarhus 1 School of Economics, Singapore Management University 1 Scottish Institute for Research in Economics (SIRE) 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Tinbergen Institute 1 Tinbergen Instituut 1 Toulouse School of Economics (TSE) 1 University of Bonn, Germany 1 Université Paris-Dauphine (Paris IX) 1 Verlag Dr. Kovač 1 World Scientific Publishing Co. Pte. Ltd. 1 Økonomisk institutt, Universitetet i Oslo 1
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Published in...
All
Stochastic Processes and their Applications 16 Insurance / Mathematics & economics 15 International journal of theoretical and applied finance 11 Insurance: Mathematics and Economics 9 International Journal of Theoretical and Applied Finance (IJTAF) 9 MPRA Paper 9 Quantitative Finance 9 Finance and Stochastics 7 Quantitative finance 7 Economics Series Working Papers / Department of Economics, Oxford University 6 Finance and stochastics 6 Risks 6 Statistics & Probability Letters 6 Journal of Risk and Financial Management 5 Journal of econometrics 5 Journal of risk and financial management : JRFM 5 Annals of the Institute of Statistical Mathematics 4 Applied mathematical finance 4 Asia-Pacific Financial Markets 4 Computational economics 4 Discussion Paper 4 European journal of operational research : EJOR 4 International journal of financial engineering 4 Risks : open access journal 4 Economics Papers / Economics Group, Nuffield College, University of Oxford 3 Review of Derivatives Research 3 Annals of Finance 2 Annals of finance 2 Bonn Econ Discussion Papers 2 CEMMAP working papers / Centre for Microdata Methods and Practice 2 Center for Mathematical Economics Working Papers 2 Computational Statistics 2 Dundee Discussion Papers in Economics 2 ECON PhD dissertations 2 Econometric reviews 2 Energy economics 2 Finance 2 Mathematics and financial economics 2 Monash Econometrics and Business Statistics Working Papers 2 NBER working paper series 2
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Source
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ECONIS (ZBW) 167 RePEc 133 EconStor 22 BASE 6 USB Cologne (EcoSocSci) 4 Other ZBW resources 2
Showing 1 - 50 of 334
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Cramér-Lundberg asymptotics for spectrally positive Markov additive processes
Kreveld, Lucas van; Mandjes, Michel; Dorsman, Jan-Pieter - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 561-582
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015052470
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Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (&#x03bc;), symmetry (&#x03b4;), volatility (&#x03c3;), shape (»), and scale (&#x03b8;); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014332830
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Multi-population mortality modeling with Lévy processes
Jevtić, Petar; Qin, Chengwei; Zhou, Hongjuan - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 583-609
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014443756
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Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process
Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α), and scale (θ); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014288862
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Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051244
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A Fourier cosine expansion method for pricing FX-TARN under Lévy processes
Tong, Kevin Z. - In: Quantitative finance and economics 7 (2023) 2, pp. 261-286
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015120993
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Efficient evaluation of expectations of functions of a Lévy process and its extremum
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Finance and stochastics 29 (2025) 2, pp. 443-468
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394806
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Poisson voting games under proportional rule
De Sinopoli, Francesco; Meroni, Claudia - In: Social choice and welfare 58 (2022) 3, pp. 507-526
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013197666
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Valuation of mortgages by using Lévy models
Chiang, Shu Ling; Tsai, Ming-shann - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 25-54
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014582188
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - In: Finance and Stochastics 25 (2021) 4, pp. 615-657
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497566
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Lévy interest rate models with a long memory
Hainaut, Donatien - In: Risks 10 (2021) 1, pp. 1-28
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein-Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag-Leffler function. Based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200893
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of Risk and Financial Management 14 (2021) 2, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611634
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Pricing perpetual American put options with asset-dependent discounting
Al-Hadad, Jonas; Palmowski, Zbigniew - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-19
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611687
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Quanto pricing beyond Black-Scholes
Fink, Holger Maria; Mittnik, Stefan - In: Journal of Risk and Financial Management 14 (2021) 3, pp. 1-27
Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611693
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Systemic risk modeling with Lévy copulas
Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of Risk and Financial Management 14 (2021) 6, pp. 1-20
We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012611808
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Sustainability in a Risky World
Campbell, John Y.; Martin, Ian - 2021
This paper studies the restrictions on consumption, portfolio choice, and social discounting implied by a sustainability constraint, that utility should not be expected to decline over time, in an economy with risky investment opportunities. The sustainability constraint does not distort...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013236208
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Pricing perpetual American put options with asset-dependent discounting
Al-Hadad, Jonas; Palmowski, Zbigniew - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-19
The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VωAPut(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012520043
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Quanto pricing beyond Black-Scholes
Fink, Holger Maria; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-27
Since their introduction, quanto options have steadily gained popularity. Matching Black-Scholes-type pricing models and, more recently, a fat-tailed, normal tempered stable variant have been established. The objective here is to empirically assess the adequacy of quanto-option pricing models....
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012520134
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Sustainability in a Risky World
Campbell, John Y.; Martin, Ian - National Bureau of Economic Research - 2021
We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky investment, and the social discount rate. The constraint...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012585383
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Systemic risk modeling with Lévy copulas
Liu, Yuhao; Djurić, Petar M.; Kim, Young Shin; Račev, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-20
We investigate a systemic risk measure known as CoVaR that represents the value-at-risk (VaR) of a financial system conditional on an institution being under distress. For characterizing and estimating CoVaR, we use the copula approach and introduce the normal tempered stable (NTS) copula based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012588056
Saved in:
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Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models
Gonon, Lukas; Schwab, Christoph - In: Finance and stochastics 25 (2021) 4, pp. 615-657
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012665197
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Sustainability in a risky world
Campbell, John Y.; Martin, Ian - 2021 - First draft: March 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012534831
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Lévy interest rate models with a long memory
Hainaut, Donatien - In: Risks : open access journal 10 (2022) 1, pp. 1-28
This article proposes an interest rate model ruled by mean reverting Lévy processes with a sub-exponential memory of their sample path. This feature is achieved by considering an Ornstein-Uhlenbeck process in which the exponential decaying kernel is replaced by a Mittag-Leffler function. Based...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012804840
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Approximation method using black-scholes formula for barrier option pricing under Lévy models
Li, Yuan; Miyachi, Kaimon; Shiraya, Kenichiro; … - 2021 - This version : June 7, 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012807890
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Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing
Kim, Young Shin - In: Journal of risk and financial management : JRFM 14 (2021) 2/77, pp. 1-18
This paper proposes the sample path generation method for the stochastic volatility version of the CGMY process. We present the Monte-Carlo method for European and American option pricing with the sample path generation and calibrate model parameters to the American style S&P 100 index options...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012484130
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Optimal prediction problems and the last zero of spectrally negative Lévy processes
Pedraza Ramírez, José Manuel - 2021
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012938989
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014232627
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VIX modeling for a market insider
Hess, Markus - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-27
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014497258
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Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
Nguyen, Duy Phat; Borovkov, Konstantin A. - In: Insurance / Mathematics & economics 110 (2023), pp. 72-81
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014282476
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Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014228463
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - In: Risks 8 (2020) 4, pp. 1-27
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200657
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Do Rare Events Explain CDX Tranche Spreads?
Seo, Sang Byung - 2020
We investigate whether a model with time-varying probability of economic disaster can explain prices of collateralized debt obligations. We focus on senior tranches of the CDX, an index of credit default swaps on investment grade firms. These assets do not incur losses until a large fraction of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012855138
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Pricing, risk and volatility in subordinated market models
Aguilar, Jean-Philippe; Kirkby, Justin Lars; Korbel, Jan - In: Risks : open access journal 8 (2020) 4/124, pp. 1-27
We consider several market models, where time is subordinated to a stochastic process. These models are based on various time changes in the Lévy processes driving asset returns, or on fractional extensions of the diffusion equation; they were introduced to capture complex phenomena such as...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012390928
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear Lévy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012042149
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Simple formulas for pricing and hedging European options in the finite moment log-stable model
Aguilar, Jean-Philippe; Korbel, Jan - In: Risks 7 (2019) 2, pp. 1-14
We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013200454
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Lévy processes on the cryptocurrency market
Zięba, Damian - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012196575
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A semigroup approach to nonlinear Lévy processes
Denk, Robert; Kupper, Michael; Nendel, Max - 2019
We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear Lévy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012009874
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Rough volatility and portfolio optimisation under small transaction costs
Schelling, Denis Matthias - 2019
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012533244
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Simple formulas for pricing and hedging European options in the finite moment log-stable model
Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14
We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012019316
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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013365090
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An unsupervised deep learning approach to solving partial integro-differential equations
Fu, Weilong; Hirsa, Ali - In: Quantitative finance 22 (2022) 8, pp. 1481-1494
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013367923
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Crypto-assets portfolio selection and optimization : a COGARCH-Rvine approach
Mba, Jules Clement; Mwambi, Sutene Mwambetania - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 173-190
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013334682
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The Parisian and ultimate drawdowns of Lévy insurance models
Li, Shu; Zhou, Xiaowen - In: Insurance / Mathematics & economics 107 (2022), pp. 140-160
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013471204
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Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura; Rayée, Grégory - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1145-1161
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013206930
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European option pricing using Gumbel distribution
Purohit, Seema Uday; Lalit, Prasad Narahar - In: International journal of financial engineering 9 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013188781
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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013167779
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On the running maximum of brownian motion and associated lookback options
Ho, Tak Yui - 2018
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012533193
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The likelihood of mixed hitting times
Abbring, Jaap H.; Salimans, Tim - In: Journal of econometrics 223 (2021) 2, pp. 361-375
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012619975
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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012625981
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The value of power-related options under spectrally negative Lévy processes
Aguilar, Jean-Philippe - In: Review of derivatives research 24 (2021) 2, pp. 173-196
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10012549113
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