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Moments structure of l 1-stochastic volatility models
Neto, David; Sardy, Sylvain - 2009
Persistent link: https://www.econbiz.de/10003926961
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Transform-based evluation of prices and Greeks of lookback options driven by Lévy processes
Asghari, Naser M.; 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 (2024) 12, 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) 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 - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
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Modeling share returns : an empirical study on the Variance Gamma model
Rathgeber, Andreas W.; Stadler, Johannes; Stöckl, Stefan - In: Journal of economics and finance 40 (2016) 4, pp. 653-682
Persistent link: https://www.econbiz.de/10011659065
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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 (2017) 2/3, 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 …, (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 - 2021
Persistent link: https://www.econbiz.de/10012493120
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The EWMA Heston model
Parent, Léo - In: Quantitative finance 23 (2023) 1, pp. 71-93
Persistent link: https://www.econbiz.de/10013490955