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~subject:"Lévy processes"
~type:"article"
~type_genre:"Book section"
~type_genre:"Konferenzbeitrag"
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Lévy processes
Option pricing theory
7
Optionspreistheorie
7
Stochastic process
7
Stochastischer Prozess
7
Derivat
3
Derivative
3
Volatility
3
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Heath-Jarrow-Morton modeling
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Hilbert transform
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Levy processes
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Lewis pricing formula
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Angelelli, Enrico
1
Barbachan, José Santiago Fajardo
1
Benth, Fred Espen
1
Fusai, Gianluca
1
Germano, Guido
1
Guillaume, Florence
1
Jahncke, Giso
1
Kallsen, Jan
1
Lozza, Sergio Ortobelli
1
Marazzina, Daniele
1
Mordecki, Ernesto
1
Ndoci, Alda
1
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Advanced modelling in mathematical finance : in honour of Ernst Eberlein
2
International journal of theoretical and applied finance
2
Application of operations research to financial markets
1
Computational Management Science : CMS
1
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ECONIS (ZBW)
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Hilbert transform, spectral filters and option pricingh
Phelan, Carolyn E.
;
Marazzina, Daniele
;
Fusai, Gianluca
; …
- In:
Application of operations research to financial markets
,
(pp. 273-298)
.
2019
Persistent link: https://www.econbiz.de/10012157552
Saved in:
2
Timing portfolio strategies with exponential
Lévy
processes
Lozza, Sergio Ortobelli
;
Angelelli, Enrico
;
Ndoci, Alda
- In:
Computational Management Science : CMS
16
(
2019
)
1/2
,
pp. 97-127
Persistent link: https://www.econbiz.de/10011993426
Saved in:
3
Multivariate option pricing models with Lévy and Sato VG marginal processes
Guillaume, Florence
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011854500
Saved in:
4
Skewed Lévy models and implied volatility skew
Olivera, Federico de
;
Barbachan, José Santiago Fajardo
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
Saved in:
5
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
Saved in:
6
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
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