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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Occupation times of Lévy processes
Wu, Lan; Zhang, Xiao - In: International journal of financial engineering 8 (2021) 3, pp. 1-10
Persistent link: https://www.econbiz.de/10012655022
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Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets
Habtemicael, Semere; SenGupta, Indranil - In: International journal of financial engineering 3 (2016) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10011673089
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Finite element based Monte Carlo simulation of options on Lévy driven assets
Karlsson, Patrik - In: International journal of financial engineering 5 (2018) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011922968
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Pricing spread options by generalized bivariate edgeworth expansion
Kao, Edward P.; Xie, Weiwei - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-30
Persistent link: https://www.econbiz.de/10011777833
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Revisiting variance gamma pricing : an application to S&P500 index options
Mozumder, Sharif; Sorwar, Ghulam; Dowd, Kevin - In: International journal of financial engineering 2 (2015) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
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An asymptotic expansion of forward-backward SDEs with a perturbed driver
Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011333428
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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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Stochastic simulation framework for the limit order book using liquidity-motivated agents
Panayi, Efstathios; Peters, Gareth W. - In: International journal of financial engineering 2 (2015) 2, pp. 1-52
Persistent link: https://www.econbiz.de/10011333470
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749