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Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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The [beta]-variance gamma model
Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
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Optimal timing of investments modeled as perpetual American options in a Levy market
Adinya, Ini; Ekhaguere, G. O. S. - In: International journal of financial engineering 9 (2022) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10013188768
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Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars - In: The journal of computational finance 21 (2017/2018) 2, pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
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Impact of bias in the estimation of American-style options by Monte Carlo simulation
Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659
Persistent link: https://www.econbiz.de/10011529578
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An empirical analysis of scenario generation methods for stochastic optimization
Löhndorf, Nils - In: European journal of operational research : EJOR 255 (2016) 1, pp. 121-132
Persistent link: https://www.econbiz.de/10011530843
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Performances of model selection criteria when variables are ILL conditioned
Karlsson, Peter S.; Behrenz, Lars; Shukur, Ghazi - In: Computational economics 54 (2019) 1, pp. 77-98
Persistent link: https://www.econbiz.de/10012134085
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Portfolio optimization for American options
Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64
Persistent link: https://www.econbiz.de/10011988191
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Randomized dimension reduction for Monte Carlo simulations
Kahalé, Nabil - In: Management science : journal of the Institute for … 66 (2020) 3, pp. 1421-1439
Persistent link: https://www.econbiz.de/10012234611