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Probability distribution and option pricing for drawdown in a stochastic volatility environment
Yamamoto, Kyo; Sato, Seisho; Takahashi, Akihiko - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 335-354
Persistent link: https://www.econbiz.de/10008860388
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Stochastic intensity modeling for structured credit exotics
Chapovsky, Alexander; Rennie, Andrew; Tavares, Pedro - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 633-652
Persistent link: https://www.econbiz.de/10003503353
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Option pricing based on a log-skew-normal mixture
Jiménez, José Alfredo; Arunachalam, V.; Serna, G. M. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-22
Persistent link: https://www.econbiz.de/10011418885
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Hermite binomial trees : a novel technique for derivatives pricing
Leccadito, Arturo; Toscano, Pietro; Tunaru, Radu S. - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10009707095
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A simple time-consistent model for the forward density process
Hult, Henrik; Lindskog, Filip; Nykvist, Johan - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-29
Persistent link: https://www.econbiz.de/10010243619
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Lower bound approximation to basket option values for local volatility jump-diffusion models
Xu, Guoping; Zheng, Harry - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010363942
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Credit-equity modeling under a latent Lévy firm process
Kijima, Masaaki; Siu, Chi Chung - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-41
Persistent link: https://www.econbiz.de/10010364748
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Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Langrené, Nicolas; Lee, Geoffrey; Zhu, Zili - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-37
Persistent link: https://www.econbiz.de/10011525109
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Skew and implied leverage effect : smile dynamics revisited
Vargas, Vincent; Dao, Tung-Lam; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011403762
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Analytical pricing of double-barrier options under a double-exponential jump diffusion process : applications of laplace transform
Sepp, Artur - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 151-175
Persistent link: https://www.econbiz.de/10002021501