Narrow search
Showing 1 - 10 of 393
Cover Image
Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
Cover Image
Importance sampling applied to Greeks for jump : diffusion models with stochastic volatility
De Diego, Sergio; Ferreira, Eva; Nualart, Eulàlia - In: The journal of computational finance 22 (2018) 1, pp. 79-105
Persistent link: https://www.econbiz.de/10011890181
Cover Image
GARCH option pricing models with Meixner innovations
Fengler, Matthias; Melnikov, Alexander - 2017
Persistent link: https://www.econbiz.de/10011718747
Cover Image
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
Cover Image
GARCH option pricing models with Meixner innovations
Fengler, Matthias; Melnikov, Alexander - In: Review of derivatives research 21 (2018) 3, pp. 277-305
Persistent link: https://www.econbiz.de/10012055743
Cover Image
Option pricing under regime-switching models : novel approaches removing path-dependence
Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 87 (2019), pp. 130-142
Persistent link: https://www.econbiz.de/10012058933
Cover Image
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Baldovin, Fulvio; Caporin, Massimiliano; Caraglio, Michele - In: Journal of econometrics 187 (2015) 2, pp. 486-497
Persistent link: https://www.econbiz.de/10011499748
Cover Image
Option pricing with Markov switching stochastic volatility models
Cheng, Yiying - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 53-63
Persistent link: https://www.econbiz.de/10012601380
Cover Image
Non-Gaussian GARCH option pricing models and their diffusion limits
Badescu, Alexandru; Elliott, Robert J.; Ortega, Juan-Pablo - In: European journal of operational research : EJOR 247 (2015) 3, pp. 820-830
Persistent link: https://www.econbiz.de/10011386309
Cover Image
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