Narrow search
Showing 1 - 10 of 13
Cover Image
Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673
Cover Image
A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
Cover Image
Heat kernel interest rate models with time-inhomogeneous Markov processes
Akahori, Jirô; Macrina, Andrea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009562139
Cover Image
Method of paired contours and pricing barrier options and CDSs of long maturities
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58
Persistent link: https://www.econbiz.de/10010437194
Cover Image
Electricity futures price modeling with Lévy term structure models
Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011403170
Cover Image
Forward prices as functionals of the spot path in commodity markets modeled by Lévy semistationary processes
Benth, Fred Espen; Blanco, Sara Ana Solanilla - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-35
Persistent link: https://www.econbiz.de/10011403202
Cover Image
An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10011403875
Cover Image
A general Ornstein-Uhlenbeck stochastic volatility model with Lévy jumps
Hofmann, Karl Friedrich; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-23
Persistent link: https://www.econbiz.de/10011686739
Cover Image
Skewed Lévy models and implied volatility skew
Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Cover Image
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