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Method of moments approach to pricing double barrier contracts in polynomial jump-diffusion models
Eriksson, Bjorn; Pistorius, Martijn - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1139-1158
Persistent link: https://www.econbiz.de/10009407659
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Preface: Spectral and cubature methods in finance and econometrics : an Interdisciplinary International Research Workshop University of Leicester, United Kingdom, 18 - 20 June 2009
Levendorskij, Sergej Z.; Mijatović, Aleksandar; … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 5-7
Persistent link: https://www.econbiz.de/10009408859
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Fast computation of vanilla prices in time-changed models and implied volatilities using rational approximations
Pistorius, Martijn; Stolte, Johannes - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10009624458
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Pricing and hedging barrier options in a hyper-exponential additive model
Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681
Persistent link: https://www.econbiz.de/10008904332
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Conic trading in a Markovian steady state
Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10011686840