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The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
Benth, Fred Espen; Meyer-Brandis, Thilo - In: Finance and stochastics 9 (2005) 4, pp. 563-576
Persistent link: https://www.econbiz.de/10008214149
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A Non-Gaussian Ornstein-Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
Benth, Fred Espen; Kallsen, Jan; Meyer-Brandis, Thilo - In: Applied mathematical finance 14 (2007) 2, pp. 153-170
Persistent link: https://www.econbiz.de/10008221848
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Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca; Bregman, Yuliya; Meyer-Brandis, Thilo - In: Insurance / Mathematics & economics 43 (2008) 2, pp. 214-222
Persistent link: https://www.econbiz.de/10008104614
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Pricing of catastrophe insurance options written on a loss index with reestimation
Biagini, Francesca; Bregman, Yuliya; Meyer-Brandis, Thilo - In: Insurance / Mathematics & economics 43 (2008) 2, pp. 214-223
Persistent link: https://www.econbiz.de/10008880509