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Ruin probabilities for a Lévy-driven generalised Ornstein-Uhlenbeck process
Kabanov, Jurij M.; Pergamenshchikov, Serguei - In: Finance and stochastics 24 (2020) 1, pp. 39-69
Persistent link: https://www.econbiz.de/10012253340
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On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
Asmussen, Søren - In: Finance and stochastics 26 (2022) 3, pp. 383-416
Persistent link: https://www.econbiz.de/10013440228
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Additive logistic processes in option pricing
Carr, Peter; Torricelli, Lorenzo - In: Finance and stochastics 25 (2021) 4, pp. 689-724
Persistent link: https://www.econbiz.de/10012665200
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Extreme ATM skew in a local volatility model with discontinuity : joint density approach
Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202
Persistent link: https://www.econbiz.de/10015130561
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255
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On the pricing of forward starting options in Heston's model on stochastic volatility
Kruse, Susanne; Nögel, Ulrich - In: Finance and stochastics 9 (2005) 2, pp. 233-250
Persistent link: https://www.econbiz.de/10002747182
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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Pricing vulnerable claims in a Lévy-driven model
Capponi, Agostino; Pagliarani, Stefano; Vargiolu, Tiziano - In: Finance and stochastics 18 (2014) 4, pp. 755-789
Persistent link: https://www.econbiz.de/10010413669
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On the calibration of local jump-diffusion asset price models
Kindermann, Stefan; Mayer, Philipp - In: Finance and stochastics 15 (2011) 4, pp. 685-724
Persistent link: https://www.econbiz.de/10009423286