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Option pricing theory
Stochastic process
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Brownian exponential functional
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Asian option
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Forde, Martin
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Hackmann, Daniel
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Kuznetsov, Alexey
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International journal of theoretical and applied finance
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Finance and stochastics
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Asian options and meromorphic Lévy processes
Hackmann, Daniel
;
Kuznetsov, Alexey
- In:
Finance and stochastics
18
(
2014
)
4
,
pp. 825-844
Persistent link: https://www.econbiz.de/10010416224
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2
The large-maturity smile for the SABR and CEV-Heston models
Forde, Martin
;
Pogudin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010243621
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3
Exact pricing and large-time asymptotics for the modified SABR model and the Brownian
exponential
functional
Forde, Martin
- In:
International journal of theoretical and applied finance
14
(
2011
)
4
,
pp. 559-578
Persistent link: https://www.econbiz.de/10009269355
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