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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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Pricing exotic options in a regime switching economy : a Fourier transform method
Hieber, Peter - In: Review of derivatives research 21 (2018) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10012055739
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Pricing commodity index options
Manzano-Herrero, Alberto Pedro; Nastasi, Emanuele; … - In: Quantitative finance 23 (2023) 2, pp. 297-308
Persistent link: https://www.econbiz.de/10014232638
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A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.; Siu, Tak Kuen - In: Quantitative finance 22 (2022) 4, pp. 691-705
Persistent link: https://www.econbiz.de/10013367853