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Computation of Greeks and multidimensional density estimation for asset price models with time-changed Brownian motion
Kawai, Reiichiro; Kohatsu-Higa, Arturo - In: Applied mathematical finance 17 (2010) 3/4, pp. 302-321
Persistent link: https://www.econbiz.de/10008653256
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Financial modelling with jump processes
Cont, Rama; Tankov, Peter - 2004
Persistent link: https://www.econbiz.de/10001790344
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Pricing, hedging, and calibration in jump-diffusion models
Tankov, Peter; Voltchkova, Ekaterina - In: Frontiers in quantitative finance : volatility and …, (pp. 129-160). 2009
Persistent link: https://www.econbiz.de/10003787598
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A new look at short-term implied volatility in asset price models with jumps
Mijatović, Aleksandar; Tankov, Peter - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 149-183
Persistent link: https://www.econbiz.de/10011550267