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Forward equations for option prices in semimartingale models
Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651
Persistent link: https://www.econbiz.de/10011418317
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Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 1, pp. 219-265
Persistent link: https://www.econbiz.de/10011460382
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Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
Figueroa-López, José E.; Ólafsson, Sveinn - In: Finance and stochastics 20 (2016) 4, pp. 973-1020
Persistent link: https://www.econbiz.de/10011570202
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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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Discretely monitored first passage problems and barrier options : an eigenfunction expansion approach
Li, Lingfei; Linetsky, Vadim - In: Finance and stochastics 19 (2015) 4, pp. 941-977
Persistent link: https://www.econbiz.de/10011421097
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Asian options and meromorphic Lévy processes
Hackmann, Daniel; Kuznetsov, Alexey - In: Finance and stochastics 18 (2014) 4, pp. 825-844
Persistent link: https://www.econbiz.de/10010416224
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A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
Bouchard, Bruno; Tan, Xiaolu - In: Finance and stochastics 25 (2021) 3, pp. 505-528
Persistent link: https://www.econbiz.de/10012585984
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Another look at the integral of exponential Brownian motion and the pricing of Asian options
Lyasoff, Andrew - In: Finance and stochastics 20 (2016) 4, pp. 1061-1096
Persistent link: https://www.econbiz.de/10011570364
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Lévy processes in finance : a remedy to the non-stationarity of continuous martingales
Leblanc, Boris - In: Finance and stochastics 2 (1998) 4, pp. 399-408
Persistent link: https://www.econbiz.de/10001247134