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Portfolio-Management
Option pricing theory
58
Optionspreistheorie
58
Stochastic process
49
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49
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31
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variance gamma
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option pricing
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Variance Gamma
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variance gamma model
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Börsenkurs
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Ivanov, Roman V.
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International journal of theoretical and applied finance
2
Annals of financial economics
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1
Construction and hedging of equity index options portfolios
Wysocki, Maciej
;
Ślepaczuk, Robert
-
2024
Persistent link: https://www.econbiz.de/10014634884
Saved in:
2
The risk measurement under the
variance-gamma
process with drift switching
Ivanov, Roman V.
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
1
,
pp. 1-27
The paper discusses an extension of the
variance-gamma
process with stochastic linear drift coefficient. It is assumed …
Persistent link: https://www.econbiz.de/10012813564
Saved in:
3
A credit-risk valuation under the
variance-gamma
asset return
Ivanov, Roman V.
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-25
exponential distribution. We suggest that the returns on stock are
variance-gamma
distributed. The value at risk, the expected …
Persistent link: https://www.econbiz.de/10011867389
Saved in:
4
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
Saved in:
5
Conic portfolio theory
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
19
(
2016
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10011523770
Saved in:
6
Numerical analysis on local risk-minimization for exponential Lévy models
Arai, Takuji
;
Imai, Yuto
;
Suzuki, Ryoichi
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011454349
Saved in:
7
Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model
Mozumder, Sharif
;
Rahman, Arafatur
- In:
Annals of financial economics
11
(
2016
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011685729
Saved in:
8
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon
;
Versteegh, M.
;
Oosterlee, Cornelis …
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
Saved in:
9
Portfolio allocation using multivariate
variance
gamma
models
Hitaj, Asmerilda
;
Mercuri, Lorenzo
- In:
Financial markets and portfolio management
27
(
2013
)
1
,
pp. 65-99
Persistent link: https://www.econbiz.de/10009720945
Saved in:
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