Similar Search Results

American and exotic option pricing with jump diffusions and other Lévy processes

Kirkby, J. Lars - In: The journal of computational finance 22 (2018) 3, pp. 89-148

Persistent link: https://www.econbiz.de/10011988194

Robust option pricing with characteristic functions and the B-spline order of density projection

Kirkby, J. Lars - In: The journal of computational finance 21 (2017/2018) 2, pp. 61-100

Persistent link: https://www.econbiz.de/10011848311

Robust barrier option pricing by frame projection under exponential Lévy dynamics

Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386

Persistent link: https://www.econbiz.de/10011815237

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

Kirkby, J. Lars; Nguyen, Duy - In: Annals of finance 16 (2020) 3, pp. 307-351

Persistent link: https://www.econbiz.de/10012496337

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100

Persistent link: https://www.econbiz.de/10011817629

Swing option pricing by dynamic programming with B-spline density projection

Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012183215

Integral representations of probability density of stochastic volatility models and timer options

Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-32

Persistent link: https://www.econbiz.de/10011787421

The CTMC–Heston model : calibration and exotic option pricing with SWIFT

Leitao, Álvaro; Kirkby, J. Lars; Ortiz-Garcia, Luis - In: The journal of computational finance 24 (2021) 4, pp. 71-114

Persistent link: https://www.econbiz.de/10012544164

Simple formulas for pricing and hedging European options in the finite moment log-stable model

Aguilar, Jean-Philippe; Korbel, Jan - In: Risks : open access journal 7 (2019) 2/36, pp. 1-14

We provide ready-to-use formulas for European options prices, risk sensitivities, and P&L calculations under Lévy-stable models with maximal negative asymmetry. Particular cases, efficiency testing, and some qualitative features of the model are also discussed.

Persistent link: https://www.econbiz.de/10012019316