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Pricing currency derivatives with Markov-modulated Lévy dynamics

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

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

Pricing European continuous-installment currency options with mean-reversion

Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013413559

Real options with competition and regime switching

Bensoussan, Alain; Hoe, SingRu; Yan, Zhongfeng; Yin, George - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 224-250

Persistent link: https://www.econbiz.de/10011739453

From optimal martingales to randomized dual optimal stopping

Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113

Persistent link: https://www.econbiz.de/10014321666

Pricing perpetual American compound options under a matrix-exponential jump-diffusion model

Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575

Persistent link: https://www.econbiz.de/10011490624

Pricing multi-asset options with tempered stable distributions

Xia, Yunfei; Grabchak, Michael - In: Financial innovation : FIN 10 (2024), pp. 1-24

We derive methods for risk-neutral pricing of multi-asset options, when log-returns jointly follow a multivariate tempered stable distribution. These lead to processes that are more realistic than the better known Brownian motion and stable processes. Further, we introduce the diagonal tempered...

Persistent link: https://www.econbiz.de/10015361648