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Subleading correction to the Asian options volatility in the black-scholes model

Pirjol, Dan - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-19

Persistent link: https://www.econbiz.de/10014365668

Asymptotic solutions for Australian options with low volatility

Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613

Persistent link: https://www.econbiz.de/10010500870

Pricing of American Parisian option as executive option based on the least-squares Monte Carlo approach

Zhuang, Yangyang; Tang, Pan - In: The journal of futures markets 43 (2023) 10, pp. 1469-1496

Persistent link: https://www.econbiz.de/10014339456

Exchange option pricing under variance gamma-like models

Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521

Persistent link: https://www.econbiz.de/10014390283

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue

Sarhangian, Vahid; Balcıog˜lu, Barış - In: Operations research letters 41 (2013) 6, pp. 659-663

Persistent link: https://www.econbiz.de/10010236055

Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

Exponential Lévy models extended by a jump to default

Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228

Persistent link: https://www.econbiz.de/10010187668

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918