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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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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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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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Fast valuation of forward-starting basket default swaps
Jackson, Ken; Kreinin, Alex; Zhang, Wanhe - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10008860414
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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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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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When are swing options bang-bang?
Bardou, Olivier; Bouthemy, Sandrine; Pagès, Gilles - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 867-899
Persistent link: https://www.econbiz.de/10008905111
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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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Multivariate integral perturbation techniques : I: theory
Dash, Jan W. - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1287-1304
Persistent link: https://www.econbiz.de/10003632079
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Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.; Joshi, Mark S. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 197-219
Persistent link: https://www.econbiz.de/10008992179