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Option pricing in stochastic volatility models driven by fractional Lévy processes
Tong, Zhigang - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 56-75
Persistent link: https://www.econbiz.de/10011589165
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Term structure modelling with quadratic CARMA processes
Tong, Zhigang - In: International journal of bonds and derivatives 2 (2016) 4, pp. 285-303
Persistent link: https://www.econbiz.de/10011807493
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Analytical formulas for option prices under time-changed CARMA process
Tong, Zhigang - In: International journal of financial engineering 10 (2023) 3, pp. 1-24
Persistent link: https://www.econbiz.de/10014444664
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Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change
Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 5 (2018) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10011922948
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A nonlinear diffusion model for electricity prices and derivatives
Tong, Zhigang; Liu, Allen - In: International journal of bonds and derivatives 3 (2017) 4, pp. 290-319
Persistent link: https://www.econbiz.de/10011877179
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Analytical pricing formulas for discretely sampled generalized variance swaps under stochastic time change
Tong, Zhigang; Liu, Allen - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-24
Persistent link: https://www.econbiz.de/10011778268
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A stochastic correlation model with time change for pricing credit spread options
Tong, Zhigang; Liu, Allen - In: Journal of mathematical finance 7 (2017) 2, pp. 445-466
Persistent link: https://www.econbiz.de/10011673996