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Pricing perpetual American compound options under a matrix-exponential jump-diffusion model

Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575

Persistent link: https://www.econbiz.de/10011490624

Pricing European continuous-installment currency options with mean-reversion

Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013413559

Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

Starting with the liberalization of electricity trading, this market grew rapidly over the last decade. However, while spot and future markets are rather liquid nowadays, option trading is still limited. One of the potential reasons for this is that the spot price process of electricity is still...

Persistent link: https://www.econbiz.de/10010305714

General optimized lower and upper bounds for discrete and continuous arithmetic Asian options

Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559

Persistent link: https://www.econbiz.de/10011520483

A new type of barrier options : lizard option

Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10010511547

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

Error analysis in Fourier methods for option pricing

Crocce, Fabián; Häppölä, Juho; Kiessling, Jonas; … - In: The journal of computational finance 21 (2017) 1, pp. 53-82

Persistent link: https://www.econbiz.de/10011691613

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

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

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