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Multivariate option pricing models with Lévy and Sato VG marginal processes
Guillaume, Florence - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011854500
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Pricing and hedging of CDO-squared tranches by using a one factor Lévy model
Guillaume, Florence; Jacobs, Philippe; Schoutens, Wim - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 663-685
Persistent link: https://www.econbiz.de/10003899503