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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
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Some pricing tools for the variance gamma model
Aguilar, Jean-Philippe - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-35
Persistent link: https://www.econbiz.de/10012271024
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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
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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
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Local stochastic volatility with jumps : analytical approximations
Pagliarani, Stefano; Pascucci, Andrea - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10010243616
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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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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
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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
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The VIX and future information
Hess, Markus - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-30
Persistent link: https://www.econbiz.de/10012807884
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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