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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
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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
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Real options with competition and regime switching
Bensoussan, Alain; Hoe, SingRu; Yan, Zhongfeng; Yin, George - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 224-250
Persistent link: https://www.econbiz.de/10011739453
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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
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American and European options in multi-factor jump-diffusion models, near expiry
Levendorskij, Sergej Z. - In: Finance and stochastics 12 (2008) 4, pp. 541-560
Persistent link: https://www.econbiz.de/10003899270
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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
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Option pricing for symmetric Lévy returns with applications
Hamza, Kais; Klebaner, Fima C.; Landsman, Zinoviy; Tan, … - In: Asia-Pacific financial markets 22 (2015) 1, pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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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
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Bias in the estimation of mean reversion in continuous-time Lévy processes
Bao, Yong; Ullah, Aman; Wang, Yun; Yu, Jun - In: Economics letters 134 (2015), pp. 16-19
Persistent link: https://www.econbiz.de/10011432138
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Barrier style contracts under Lévy processes : an alternative approach
Barbachan, José Santiago Fajardo - In: Journal of banking & finance 53 (2015), pp. 179-187
Persistent link: https://www.econbiz.de/10011377718