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Efficiently pricing double barrier derivatives in stochastic volatility models

Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216

Persistent link: https://www.econbiz.de/10010529630

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform

Tassinari, Gian Luca; Bianchi, Michele Leonardo - In: International journal of theoretical and applied finance 17 (2014) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10010391513

Forward-looking portfolio selection with multivariate non-Gaussian models

Bianchi, Michele Leonardo; Tassinari, Gian Luca - In: Quantitative finance 20 (2020) 10, pp. 1645-1661

Persistent link: https://www.econbiz.de/10012295628

ARMA-GARCH model with fractional generalized hyperbolic innovations

Kim, Sung Ik - In: Financial innovation : FIN 8 (2022), pp. 1-25

In this study, a multivariate ARMA-GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic process, the non-fractional variant is derived by...

Persistent link: https://www.econbiz.de/10013272653

Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions

Catalão, André; Rosenfeld, Rogério - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-52

Persistent link: https://www.econbiz.de/10012270883

Discounted penalty function at Parisian ruin for Lévy insurance risk process

Loeffen, R.; Palmowski, Z.; Surya, B. A. - In: Insurance / Mathematics & economics 83 (2018), pp. 190-197

Persistent link: https://www.econbiz.de/10011944136

The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis

Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 14 (2017) 3, pp. 126-134

Persistent link: https://www.econbiz.de/10011867234

Volatility risk structure for options depending on extrema

Nakatsu, Tomonori - In: The journal of computational finance 21 (2017/2018) 3, pp. 105-122

Persistent link: https://www.econbiz.de/10011848359

The barrier binary options

Gao, Min; Wei, Zhenfeng - In: Journal of mathematical finance 10 (2020) 1, pp. 140-156

Persistent link: https://www.econbiz.de/10012545572