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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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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 with Lévy models
Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308
Persistent link: https://www.econbiz.de/10012135131
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Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
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Long-range dependence in the risk-neutral measure for the market on Lehman Brothers Collapse
Kim, Young Shin - In: Applied mathematical finance 23 (2016) 3/4, pp. 309-322
Persistent link: https://www.econbiz.de/10011704246
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Multi-purpose binomial model : fitting all moments to the underlying geometric Brownian motion
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Economics letters 145 (2016), pp. 225-229
Persistent link: https://www.econbiz.de/10011618437
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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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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773
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Enhancing binomial and trinomial equity option pricing models
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: Finance research letters 28 (2019), pp. 185-190
Persistent link: https://www.econbiz.de/10012388304
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Pricing options on flow forwards by neural networks in a Hilbert space
Benth, Fred Espen; Detering, Nils; Galimberti, Luca - In: Finance and stochastics 28 (2024) 1, pp. 81-121
Persistent link: https://www.econbiz.de/10014447586