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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
Persistent link: https://www.econbiz.de/10010235585
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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
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U.S. stock market crash risk, 1926–2010
Bates, David S. - In: Journal of financial economics 105 (2012) 2, pp. 229-259
Persistent link: https://www.econbiz.de/10009666837
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Variational solutions of the pricing PIDEs for European options in Lévy models
Eberlein, Ernst; Glau, Kathrin - In: Applied mathematical finance 21 (2014) 5/6, pp. 417-450
Persistent link: https://www.econbiz.de/10010500880
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Adaptive radial basis function methods for pricing options under jump-diffusion models
Chan, Tat Lung - In: Computational economics 47 (2016) 4, pp. 623-643
Persistent link: https://www.econbiz.de/10011712485
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Approximate pricing of call options on the quadratic variation in Lévy models
Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016
Persistent link: https://www.econbiz.de/10011800371
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Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej; Ślepaczuk, Robert - 2020
Persistent link: https://www.econbiz.de/10012322240
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Determination of the Lévy exponent in asset pricing models
Bouzianis, George; Hughston, Lane P. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012012832
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A simplified Wiener-Hopf factorization method for pricing double barrier options under Lévy processes
Kudryavtsev, Oleg - In: Computational management science 21 (2024) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10014636822