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Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
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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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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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Valuation of CMS range notes in a multifactor LIBOR market model
Wu, Ping; Elliott, Robert J. - In: International journal of financial engineering 3 (2016) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10011532755
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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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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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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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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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Approximate pricing of American exchange options with jumps
Lian, Guanghua; Elliott, Robert J.; Kalev, Petko S.; … - In: The journal of futures markets 42 (2022) 6, pp. 983-1001
Persistent link: https://www.econbiz.de/10013287907
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American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen; Elliott, Robert J. - In: The journal of derivatives : JOD 29 (2022) 3, pp. 106-123
Persistent link: https://www.econbiz.de/10013174827