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From optimal martingales to randomized dual optimal stopping
Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.; Marazzina, D.; Germano, G. - In: Quantitative finance 20 (2020) 6, pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
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Marginal consistent dependence modelling using weak subordination for Brownian motions
Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925
Persistent link: https://www.econbiz.de/10012262863
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Singular Fourier-Padé series expansion of European option prices
Chan, Tat Lung - In: Quantitative finance 18 (2018) 7, pp. 1149-1171
Persistent link: https://www.econbiz.de/10011911530
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Moments of integrated exponential Lévy processes and applications to Asian options pricing
Brignone, Riccardo - In: Quantitative finance 22 (2022) 9, pp. 1717-1729
Persistent link: https://www.econbiz.de/10013367942
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Implied Markov transition matrices under structural price models
Defourny, Boris; Moazeni, Somayeh - In: Quantitative finance 21 (2021) 11, pp. 1935-1954
Persistent link: https://www.econbiz.de/10012696797