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American options and callable bonds under stochastic interest rates and endogenous bankruptcy

Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332

Persistent link: https://www.econbiz.de/10009349987

Solving high-dimensional optimal stopping problems using optimization based model order reduction

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Exchange option pricing under variance gamma-like models

Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521

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American and European options in multi-factor jump-diffusion models, near expiry

Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560

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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier

Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090

Persistent link: https://www.econbiz.de/10009407673

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

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Asymptotics of the area under the graph of a Lévy-driven workload process

Blanchet, J.; Mandjes, Michel - In: Operations research letters 41 (2013) 6, pp. 730-736

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A first passage time problem for spectrally positive Lévy processes and its application to a dynamic priority queue

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Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the Gaussian distribution, the usual textbook exposition relies on dynamic programming and thus Itô stochastic calculus and the appropriate regularity conditions. This...

Persistent link: https://www.econbiz.de/10009787073

Option pricing with time-changed Lévy processes

Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238

Persistent link: https://www.econbiz.de/10010204746