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Search: subject:"Levy processes"
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Lévy processes
141
Stochastic process
97
Stochastischer Prozess
97
Option pricing theory
81
Optionspreistheorie
81
Volatility
27
Volatilität
27
Levy processes
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Lleo, Sébastien
16
Davis, Mark H. A.
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10
Yamazaki, Kazutoshi
10
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6
Schoutens, Wim
5
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4
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4
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4
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3
Chan, Tat Lung
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Habtemicael, Semere
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3
Levendorskij, Sergej Z.
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Arai, Takuji
2
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2
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2
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2
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Stochastic Processes and their Applications
19
International Journal of Theoretical and Applied Finance (IJTAF)
18
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16
Risk-Sensitive Investment Management
15
Physica A: Statistical Mechanics and its Applications
12
International journal of theoretical and applied finance
11
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RePEc
126
ECONIS (ZBW)
105
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1
Pricing vulnerable spread options with liquidity risk under
Lévy
processes
Cai, Chengyou
;
Wang, Xingchun
;
Yu, Baimin
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014534807
Saved in:
2
On singular control for
Lévy
processes
Noba, Kei
;
Yamazaki, Kazutoshi
- In:
Mathematics of operations research
48
(
2023
)
3
,
pp. 1213-1234
Persistent link: https://www.econbiz.de/10014329210
Saved in:
3
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef
;
Goutte, Stéphane
;
Makumbe, Zororo S.
; …
- In:
International review of economics & finance : IREF
85
(
2023
),
pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Saved in:
4
Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach
Zhuang, Yangyang
;
Tang, Pan
- In:
The journal of futures markets
43
(
2023
)
10
,
pp. 1469-1496
Persistent link: https://www.econbiz.de/10014339456
Saved in:
5
A dynamic program under
Lévy
processes
for valuing corporate securities
Ben-Ameur, Hatem
;
Chérif, Rim
;
Rémillard, Bruno N.
- In:
Journal of risk
25
(
2023
)
4
,
pp. 61-81
Persistent link: https://www.econbiz.de/10014314624
Saved in:
6
Generalized two-barrier proportional step options
Li, Xin
- In:
Finance research letters
51
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014288833
Saved in:
7
A dynamic program under
Lévy
processes
for valuing corporate securities
Ben-Ameur, Hatem
;
Chérif, Rim
;
Rémillard, Bruno N.
- In:
Journal of risk : JOR
25
(
2023
)
4
,
pp. 61-81
Persistent link: https://www.econbiz.de/10014487107
Saved in:
8
Exchange option pricing under variance gamma-like models
Gardini, Matteo
;
Sabino, Piergiacomo
- In:
Applied mathematical finance
29
(
2022
)
6
,
pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
Saved in:
9
Structural estimation of counterparty credit risk under recovery risk
Castellano, Rosella
;
Corallo, Vincenzo
;
Morelli, Giacomo
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013463128
Saved in:
10
A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
Chen, Jie
;
Fan, Liaoyuan
;
Li, Lingfei
;
Zhang, Gongqiu
- In:
Review of derivatives research
25
(
2022
)
2
,
pp. 189-232
Persistent link: https://www.econbiz.de/10013457614
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