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Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes
Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853
Persistent link: https://www.econbiz.de/10014228463
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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
Itkin, Andrey; Carr, Peter - In: Computational economics 40 (2012) 1, pp. 63-104
Persistent link: https://www.econbiz.de/10009627499
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Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu; McAleer, Michael - In: Computational economics 59 (2022) 1, pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
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Pricing European options under fractional black-scholes model with a weak payoff function
Mehrdoust, Farshid; Najafi, Ali Reza - In: Computational economics 52 (2018) 2, pp. 685-706
Persistent link: https://www.econbiz.de/10012053023
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243