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Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415

Tempered stable process, first passage time, and path-dependent option pricing

Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215

Persistent link: https://www.econbiz.de/10011993461

Pricing and hedging GMWB in the Heston and in the Black-Scholes with stochastic interest rate models

Goudenege, Ludovic; Molent, Andrea; Zanette, Antonino - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 217-248

Persistent link: https://www.econbiz.de/10011993464

First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment

Saporito, Yuri F. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011889526

Time scale and fractionality in financial time series

Sproul, Thomas W. - In: Agricultural finance review 76 (2016) 1, pp. 76-93

Persistent link: https://www.econbiz.de/10011695555

Skewed Lévy models and implied volatility skew

Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10011854458

Expansion formulas for European quanto options in a local volatility FX-LIBOR model

Hok, Julien; Ngare, Philip; Papapantoleon, Antonis - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-43

Persistent link: https://www.econbiz.de/10011854564

Gamma kernels and BSS/LSS processes

Barndorff-Nielsen, Ole E. - In: Advanced modelling in mathematical finance : in honour …, (pp. 41-61). 2016

This paper reviews the roles of gamma type kernels in the theory and modelling for Brownian and Lévy semistationary processes. Applications to financial econometrics and the physics of turbulence are pointed out.

Persistent link: https://www.econbiz.de/10011800335

Approximate pricing of call options on the quadratic variation in Lévy models

Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016

Persistent link: https://www.econbiz.de/10011800371

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392