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Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

Weather derivatives with applications to Canadian data

Sviščuk, Anatolij; Cui, Kaijie - In: Journal of mathematical finance 3 (2013) 1, pp. 81-95

Persistent link: https://www.econbiz.de/10010240221

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406

Persistent link: https://www.econbiz.de/10010457150

Local risk-minimization under Markov-modulated exponential Lévy model

Menoukeu-Pamen, Olivier; Momeya, Romuald - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-24

Persistent link: https://www.econbiz.de/10011403879

Pricing perpetual American put options with asset-dependent discounting

Al-Hadad, Jonas; Palmowski, Zbigniew - In: Journal of risk and financial management : JRFM 14 (2021) 3, pp. 1-19

The main objective of this paper is to present an algorithm of pricing perpetual American put options with asset-dependent discounting. The value function of such an instrument can be described as VωAPut(s)=supτ∈TEs[e−∫0τω(Sw)dw(K−Sτ)+], where T is a family of stopping times, ω is...

Persistent link: https://www.econbiz.de/10012520043

Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process

Palmowski, Z.; Budhi Arta Surya - In: Insurance / Mathematics & economics 93 (2020), pp. 168-177

Persistent link: https://www.econbiz.de/10012294093

Approximate indifference pricing in exponential Lévy models

Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235

Persistent link: https://www.econbiz.de/10011704228

Valuation of spark-spread option written on electricity and gas forward contracts under two-factor models with non-Gaussian Lévy processes

Mehrdoust, Farshid; Noorani, Idin - In: Computational economics 61 (2023) 2, pp. 807-853

Persistent link: https://www.econbiz.de/10014228463