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Pricing exotic options under local volatility

Decamps, Marc; Goovaerts, Marc J.; De Schepper, Ann - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10002749078

Duru-Kleinert Asymptotic Expansions for Long-Term Foreign Exchange and Swaptions Implied Volatility Smile

Decamps, Marc - 2012

In this paper, we develop asymptotic formulas for long-dated Foreign Exchange (FX) and swaptions implied volatilities. We extend the method exposed in Decamps and De Schepper (2009b) to a generic model with time-dependent parameters. Imposing a condition on the skew, we derive averaging formulas...

Persistent link: https://www.econbiz.de/10013116583

Bounds for present value functions with stochastic interest rates and stochastic volatility

De Schepper, Ann; Goovaerts, Marc J.; Dhaene, Jan; Kaas, R. - 2002

Persistent link: https://www.econbiz.de/10001655514

On the distribution of cash flows using Esscher transforms

Vyncke, David; Goovaerts, Marc J.; De Schepper, Ann; … - In: The journal of risk and insurance : the journal of the … 70 (2003) 3, pp. 563-575

Persistent link: https://www.econbiz.de/10001787185

On the pricing of options under limited information

De Schepper, Ann (contributor); Heijnen, Bart (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002089715

A recursive approach to mortality-linked derivative pricing

Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248

Persistent link: https://www.econbiz.de/10009242028

Static hedging of Asian options under Lévy models

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - In: The journal of derivatives : the official publication … 12 (2004) 3, pp. 63-72

Persistent link: https://www.econbiz.de/10002672510

Static hedging of Asian options under Lévy models : the comonotonicity approach

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001938553

An accurate analytical approximation for the price of a European-style arithmetic Asian option

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003

Persistent link: https://www.econbiz.de/10001769796

Transform analysis and asset pricing for diffusion processes : a recursive approach

Goovaerts, Marc J.; Laeven, Roger; Shang, Zhaoning - In: The journal of computational finance 16 (2012/13) 1, pp. 47-81

Persistent link: https://www.econbiz.de/10009631863

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