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Pricing currency derivatives with Markov-modulated Lévy dynamics

Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76

Persistent link: https://www.econbiz.de/10010402730

On a Heath-Jarrow-Morton approach for stock options

Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615

Persistent link: https://www.econbiz.de/10011418308

Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Pricing and hedging of lookback options in hyper-exponential jump diffusion models

Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511

Persistent link: https://www.econbiz.de/10010235585

On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes

Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49

Persistent link: https://www.econbiz.de/10011455555

Investigating the performance of non-gaussian stochastic intensity models in the calibration of credit default swap spreads

Bianchi, Michele Leonardo; Fabozzi, Frank J. - In: Computational economics 46 (2015) 2, pp. 243-273

Persistent link: https://www.econbiz.de/10011478467

Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011403170

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918

Exponential Lévy models extended by a jump to default

Yamazaki, Akira - In: Applied mathematical finance 20 (2013) 3/4, pp. 211-228

Persistent link: https://www.econbiz.de/10010187668

Variance Gamma model in hedging vanilla and exotic options

Bollin, Bartłomiej; Ślepaczuk, Robert - 2020

Persistent link: https://www.econbiz.de/10012322240