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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
Glau, Kathrin - In: Finance and stochastics 20 (2016) 4, pp. 1021-1059
Persistent link: https://www.econbiz.de/10011570348
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Hybrid scheme for Brownian semistationary processes
Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - In: Finance and stochastics 21 (2017) 4, pp. 931-965
Persistent link: https://www.econbiz.de/10011944457
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The Jacobi stochastic volatility model
Ackerer, Damien; Filipović, Damir; Pulido, Sergio - In: Finance and stochastics 22 (2018) 3, pp. 667-700
Persistent link: https://www.econbiz.de/10011945894
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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/10012665197