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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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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
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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
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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
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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
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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
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Stochastic volatility : risk minimization and model risk
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549908
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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
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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
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Financial models with Lévy processes and volatility clustering
Račev, Svetlozar T.; Kim, Young Shin; Bianchi, Michele … - 2011
Persistent link: https://www.econbiz.de/10008658750