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Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 4, pp. 301-322
Persistent link: https://www.econbiz.de/10008443441
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Weak approximation for a black-scholes type regime switching model
Kohatsu-Higa, Arturo; Tanaka, Akihiro - In: Applied mathematical finance 31 (2024) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10015194417
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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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Approximate indifference pricing in exponential Lévy models
Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235
Persistent link: https://www.econbiz.de/10011704228