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Lévy processes driven by stochastic volatility
Chourdakis, Kyriakos - In: Asia-Pacific financial markets 12 (2005) 4, pp. 333-352
Persistent link: https://www.econbiz.de/10003496705
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A stochastic correlation model with mean reversion for pricing multi-asset options
Ma, Jun - In: Asia-Pacific financial markets 16 (2009) 2, pp. 97-109
Persistent link: https://www.econbiz.de/10003855660
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The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
Momeya, Romuald Hervé; Ben Salah, Zied - In: Asia-Pacific financial markets 19 (2012) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10009532269
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A new type of barrier options : lizard option
Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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Dimension reduction for pricing options under multidimensional Lévy processes
Imai, Junichi - In: Asia-Pacific financial markets 22 (2015) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10010511558
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Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki; Chung, Tsz-Kin; Tanaka, Keiichi - In: Asia-Pacific financial markets 21 (2014) 4, pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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Understanding delta-hedged option returns in stochastic volatility environments
Sasaki, Hiroshi - In: Asia-Pacific financial markets 22 (2015) 2, pp. 151-184
Persistent link: https://www.econbiz.de/10011377526
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Pricing discrete barrier options under stochastic volatility
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 19 (2012) 3, pp. 205-232
Persistent link: https://www.econbiz.de/10009660697
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A discrete-time Clark-Ocone formula for Poisson functionals
Amaba, Takafumi - In: Asia-Pacific financial markets 21 (2014) 2, pp. 97-120
Persistent link: https://www.econbiz.de/10010358455