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Option Prices with Stochastic...
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34
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Benth, Fred Espen
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Wang, Xingchun
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28
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21
Lee, Cheng F.
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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1
Vol, skew, and smile trading
Al-Jaaf, Aşty
;
Carr, Peter
- In:
The journal of derivatives : JOD
31
(
2023
)
1
,
pp. 64-95
Persistent link: https://www.econbiz.de/10014422386
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2
Analytical approximation for the price dynamics of spark spread options
Benth, Fred Espen
(
contributor
); …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
10
(
2006
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10003559113
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3
Pricing and hedging Asian-style options on energy
Benth, Fred Espen
;
Detering, Nils
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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4
Reward-risk momentum strategies using classical tempered stable distribution
Choi, Jaehyung
;
Kim, Young Shin
;
Mitov, Ivan
- In:
Journal of banking & finance
58
(
2015
),
pp. 194-213
Persistent link: https://www.econbiz.de/10011543976
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5
Pricing and hedging of energy spread options and volatility modulated Volterra processes
Benth, Fred Espen
;
Zdanowicz, Hanna
- In:
International journal of theoretical and applied finance
19
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011453780
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6
Quanto option pricing in the presence of fat tails and asymmetric dependence
Kim, Young Shin
;
Lee, Jaesung
;
Mittnik, Stefan
;
Park, Jiho
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 512-520
Persistent link: https://www.econbiz.de/10011499753
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7
Tempered stable processes with time-varying exponential tails
Kim, Young Shin
;
Roh, Kum-Hwan
;
Douady, Raphaël
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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8
Spiking the volatility punch
Carr, Peter
;
Figà-Talamanca, Gianna
- In:
Applied mathematical finance
27
(
2020
)
6
,
pp. 495-520
Persistent link: https://www.econbiz.de/10012516169
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9
Semi-analytical solutions for barrier and American options written on a time-dependent Ornstein-Uhlenbeck process
Carr, Peter
;
Itkin, Andrey
- In:
The journal of derivatives : JOD
29
(
2021
)
1
,
pp. 9-26
Persistent link: https://www.econbiz.de/10012612941
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10
Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen
;
Detering, Nils
;
Lavagnini, Silvia
- In:
Digital finance : smart data analytics, investment …
3
(
2021
)
3/4
,
pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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