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Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges

Ewald, Christian-Oliver (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003549952

Real Options under a Double Exponential Jump-Diffusion Model with Regime Switching and Partial Information

Luo, Pengfei - 2015

We consider an irreversible investment in a project, which generates cash flow following a double exponential jump-diffusion process and its expected return is governed by a continuous-time two-state Markov chain. If the expected return is observable, we present explicit expressions for the...

Persistent link: https://www.econbiz.de/10013038765

Real options under a double exponential jump-diffusion model with regime switching and partial information

Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073

Persistent link: https://www.econbiz.de/10012194743

A new tempered stable distribution and its application to finance

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008

Persistent link: https://www.econbiz.de/10003781614

Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - 2009

Persistent link: https://www.econbiz.de/10003884274

Barrier option pricing by branching processes

Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073

Persistent link: https://www.econbiz.de/10003928804

Tempered stable and tempered infinitely divisible GARCH models

Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Journal of banking & finance 34 (2010) 9, pp. 2096-2109

Persistent link: https://www.econbiz.de/10008732109

The relative entropy in CGMY processes and its applications to finance

Kim, Young Shin; Lee, Jeong Hyun - In: Mathematical methods of operations research 66 (2007) 2, pp. 327-338

Persistent link: https://www.econbiz.de/10003564151

A modified tempered stable distribution with volatility clustering

Kim, Young Shin; Račev, Svetlozar T.; Chung, Dong Myung; … - In: New developments in financial modelling, (pp. 344-365). 2008

Persistent link: https://www.econbiz.de/10003981863

Financial models with Lévy processes and volatility clustering

Račev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele … - 2011

Persistent link: https://www.econbiz.de/10008658750