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Option pricing theory
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Moments structure of l 1-stochastic volatility models
Neto, David
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Sardy, Sylvain
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2009
Persistent link: https://www.econbiz.de/10003926961
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2
Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.
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Mandjes, Michel
- In:
The journal of computational finance
20
(
2016
)
2
,
pp. 67-100
Persistent link: https://www.econbiz.de/10011656711
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On bid and ask pricing of European options via direct discretization of Choquet distorted expectations
Michielon, Matteo
- In:
Quantitative finance
24
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2024
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12
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pp. 1729-1745
Persistent link: https://www.econbiz.de/10015196963
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Application of homotopy analysis method to option pricing under Lévy processes
Sakuma, Takayuki
;
Yamada, Yuji
- In:
Asia-Pacific financial markets
21
(
2014
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1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010358467
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A new type of barrier options : lizard option
Kawanishi, Yasuhiro
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Asia-Pacific financial markets
22
(
2015
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1
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pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
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Enhancing enterprise value by trading options
Madan, Dilip B.
;
Sharaiha, Yazid M.
- In:
The journal of investment strategies
6
(
2017
)
4
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pp. 47-80
Persistent link: https://www.econbiz.de/10011771270
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Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
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2017
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2/3
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pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de
;
Mordecki, Ernesto
- In:
Trends in mathematical economics : dialogues between …
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(pp. 99-121)
.
2016
Persistent link: https://www.econbiz.de/10011800675
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Variance Gamma process in the option pricing model
Drahokoupil, Jakub
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2021
Persistent link: https://www.econbiz.de/10012493120
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The EWMA Heston model
Parent, Léo
- In:
Quantitative finance
23
(
2023
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1
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pp. 71-93
Persistent link: https://www.econbiz.de/10013490955
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