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Numerical methods for Lévy processes
Hilber, N.; Reich, N.; Schwab, C.; Winter, C. - In: Finance and stochastics 13 (2009) 4, pp. 471-500
Persistent link: https://www.econbiz.de/10003899475
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Fast and accurate pricing of barrier options under Lévy processes
Kudryavtsev, Oleg; Levendorskiǐ, Sergei - In: Finance and stochastics 13 (2009) 4, pp. 531-562
Persistent link: https://www.econbiz.de/10003899529
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In which financial markets do mutual fund theorems hold true?
Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77
Persistent link: https://www.econbiz.de/10003939474
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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On the duality principle in option pricing : semimartingale setting
Eberlein, Ernst; Papapantoleon, Antonis; Širjaev, … - In: Finance and stochastics 12 (2008) 2, pp. 265-292
Persistent link: https://www.econbiz.de/10003716266
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Comparison of option prices in seminartingale models
Bergenthum, Jan; Rüschendorf, Ludger - In: Finance and stochastics 10 (2006) 2, pp. 222-249
Persistent link: https://www.econbiz.de/10003334918
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Option pricing for pure jump processes with Markov switching compensators
Elliott, Robert J. R.; Osakwe, Carlton-James U. - In: Finance and stochastics 10 (2006) 2, pp. 250-275
Persistent link: https://www.econbiz.de/10003334921
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On perpetual American put valuation and first-passage in a regime-switching model with jumps
Jiang, Zhengjun; Pistorius, Martijn R. - In: Finance and stochastics 12 (2008) 3, pp. 331-355
Persistent link: https://www.econbiz.de/10003899193
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Pricing by hedging and no-arbitrage beyond semimartingales
Bender, Christian; Sottinen, Tommi; Valkeila, Esko - In: Finance and stochastics 12 (2008) 4, pp. 441-468
Persistent link: https://www.econbiz.de/10003899260
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Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10003899262