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Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model

Linders, Daniël - 2015

In this paper we employ a one-factor Lévy model to determine basket option prices. More precisely, basket option prices are determined by replacing the distribution of the real basket with an appropriate approximation. For the approximate basket we determine the underlying characteristic...

Persistent link: https://www.econbiz.de/10013033163

Basket option pricing and implied correlation in a Lévy copula model

Linders, Daniël; Schoutens, Wim - 2014

Persistent link: https://www.econbiz.de/10010422208

Lévy processes in finance : pricing financial derivatives

Schoutens, Wim - 2003

Persistent link: https://www.econbiz.de/10001728004

Pricing contingent convertibles : a derivatives approach

De Spiegeleer, Jan; Schoutens, Wim - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 27-36

Persistent link: https://www.econbiz.de/10009718109

Two processes for two prices

Madan, Dilip B.; Schoutens, Wim - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10010363955

Close form pricing formulas for Coupon Cancellable CoCos

Corcuera, José Manuel; De Spiegeleer, Jan; Barbachan, … - In: Journal of banking & finance 42 (2014), pp. 339-351

Persistent link: https://www.econbiz.de/10010408370

Lévy processes in credit risk

Schoutens, Wim; Cariboni, Jessica - 2009

Persistent link: https://www.econbiz.de/10003825519

Single name credit default swaptions meet single sided jump models

Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169

Persistent link: https://www.econbiz.de/10003829573

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Conic option pricing

Madan, Dilip B.; Schoutens, Wim - In: The journal of derivatives : the official publication … 25 (2017) 1, pp. 10-36

Persistent link: https://www.econbiz.de/10011931506

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