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A Markov chain approximation scheme for option pricing under skew diffusions

Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480

Persistent link: https://www.econbiz.de/10012483834

Lévy processes driven by stochastic volatility

Chourdakis, Kyriakos - In: Asia-Pacific Financial Markets 12 (2005) 4, pp. 333-352

Persistent link: https://www.econbiz.de/10005727038

Double barrier options in regime-switching hyper-exponential jump-diffusion models

Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043

Persistent link: https://www.econbiz.de/10009407678

Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model

Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768

Persistent link: https://www.econbiz.de/10010227881

Analysis of a drawdown-based regime-switching Lévy insurance model

Landriault, David; Li, Bin; Li, Shu - In: Insurance / Mathematics & economics 60 (2015), pp. 98-107

Persistent link: https://www.econbiz.de/10010484823

Cross-country performance of Lévy regime-switching models for stock markets

Chevallier, Julien; Goutte, Stéphane - In: Applied economics 49 (2017) 2, pp. 111-137

Persistent link: https://www.econbiz.de/10011810520

On the estimation of regime-switching Lévy models

Chevallier, Julien; Goutte, Stéphane - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 3-29

Persistent link: https://www.econbiz.de/10011650170

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Cramér-Lundberg asymptotics for spectrally positive Markov additive processes

Kreveld, Lucas van; Mandjes, Michel; Dorsman, Jan-Pieter - In: Scandinavian actuarial journal 2024 (2024) 6, pp. 561-582

Persistent link: https://www.econbiz.de/10015052470

A semigroup approach to nonlinear Lévy processes

Denk, Robert; Kupper, Michael; Nendel, Max - 2019

We study the relation between Lévy processes under nonlinear expectations, nonlinear semigroups and fully nonlinear PDEs. First, we establish a one-to-one relation between nonlinear Lévy processes and nonlinear Markovian convolution semigroups. Second, we provide a condition on a family of...

Persistent link: https://www.econbiz.de/10012009874