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Pricing derivatives on two-dimensional Lévy processes
Barbachan, José Santiago Fajardo; Mordecki, Ernesto - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 185-197
Persistent link: https://www.econbiz.de/10003312719
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Componentwise splitting methods for pricing American options under stochastic volatility
Ikonen, Samuli; Toivanen, Jari - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 331-361
Persistent link: https://www.econbiz.de/10003441984
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A regularized fourier transform approach for valuing options under stochastic dividend yields
Dia, Baye M. - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 211-240
Persistent link: https://www.econbiz.de/10008860410
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Approximating Lévy processes with a view to option pricing
Crosby, John; Le Saux, Nolwenn; Mijatovi´c, Aleksandar - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 63-91
Persistent link: https://www.econbiz.de/10008860423
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Efficient, almost exact simulation of the heston stochastic volatility model
van Haastrecht, Alexander; Pelsser, Antoon André Jean - In: International journal of theoretical and applied finance 13 (2010) 1, pp. 1-43
Persistent link: https://www.econbiz.de/10008860425
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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Exact pricing with stochastic volatility and jumps
D'Ippoliti, Fernanda; Moretto, Enrico; Pasquali, Sara; … - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 901-929
Persistent link: https://www.econbiz.de/10008905110
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Pricing and filtering in a two-dimensional dividend switching model
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 13 (2010) 7, pp. 1001-1017
Persistent link: https://www.econbiz.de/10008906248
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Black-Scholes-Merton in random time : a new stochastic volatility model with path dependence
Ostrovsky, Dmitry - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 847-872
Persistent link: https://www.econbiz.de/10003564679
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The exponent expansion : an effective approximation of transition probabilities of diffusion processes and pricing Kernels of financial derivatives
Capriotti, Luca - In: International journal of theoretical and applied finance 9 (2006) 7, pp. 1179-1200
Persistent link: https://www.econbiz.de/10003395996