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~isPartOf:"International journal of theoretical and applied finance"
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International journal of theoretical and applied finance
Journal of econometrics
153
Economics letters
87
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Econometric reviews
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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1
Option pricing in the variance-gamma model under the drift jump
Ivanov, Roman V.
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011892547
Saved in:
2
Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
Kao, Lie-jane
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10009624510
Saved in:
3
Generalized Barndorff-Nielsen and Shephard model and discretely monitored option pricing
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011523937
Saved in:
4
Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
Jafari, Hossein
;
Rahimi, Ghazaleh
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10012012961
Saved in:
5
Fourth-order compact scheme for option pricing under the Merton's and Kou's jump-diffusion models
Patel, Kuldip Singh
;
Mehra, Mani
- In:
International journal of theoretical and applied finance
21
(
2018
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011892590
Saved in:
6
Local risk-minimization under Markov-modulated exponential Lévy model
Menoukeu-Pamen, Olivier
;
Momeya, Romuald
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403879
Saved in:
7
An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven
;
Ahcan, Ales
;
Henrard, Luc
;
Maj, Mateusz
- In:
International journal of theoretical and applied finance
15
(
2012
)
2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
Saved in:
8
Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya
;
Bojarčenko, Svetlana I.
- In:
International journal of theoretical and applied finance
14
(
2011
)
7
,
pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
Saved in:
9
On valuation with stochastic proportional Hazard model in finance
Yamazaki, Akira
- In:
International journal of theoretical and applied finance
16
(
2013
)
3
,
pp. 1-34
Persistent link: https://www.econbiz.de/10009756036
Saved in:
10
Behavior of long-term yields in a Lévy term structure
Biagini, Francesca
;
Härtel, Maximilian
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10010364765
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