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Tempered stable processes with time-varying exponential tails
Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561
Persistent link: https://www.econbiz.de/10013167779
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Explicit option valuation in the exponential NIG model
Aguilar, Jean-Philippe - In: Quantitative finance 21 (2021) 8, pp. 1281-1299
Persistent link: https://www.econbiz.de/10012608646
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Random matrix models for datasets with fixed time horizons
Zitelli, G. L. - In: Quantitative finance 20 (2020) 5, pp. 769-781
Persistent link: https://www.econbiz.de/10012262618
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Pricing European-type, early-exercise and discrete barrier options using an algorithm for the convolution of Legendre series
Chan, Tat Lung; Hale, Nicholas - In: Quantitative finance 20 (2020) 8, pp. 1307-1324
Persistent link: https://www.econbiz.de/10012262664
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An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
Chan, Tat Lung - In: Quantitative finance 20 (2020) 8, pp. 1325-1343
Persistent link: https://www.econbiz.de/10012262665
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
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An unsupervised deep learning approach to solving partial integro-differential equations
Fu, Weilong; Hirsa, Ali - In: Quantitative finance 22 (2022) 8, pp. 1481-1494
Persistent link: https://www.econbiz.de/10013367923