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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

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

Shifting martingale measures and the birth of a bubble as a submartingale

Biagini, Francesca; Föllmer, Hans; Nedelcu, Sorin - In: Finance and stochastics 18 (2014) 2, pp. 297-326

Persistent link: https://www.econbiz.de/10010340747

Option pricing with discrete time jump processes

Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445

Persistent link: https://www.econbiz.de/10010348134

A market-based martingale valuation approach to optimum inventory control in a doubly stochastic jump-diffusion economy

Chang, Jack S. K.; Chang, Carolyn; Shi, Min - In: Journal of the Operational Research Society : OR 66 (2015) 3, pp. 405-420

Persistent link: https://www.econbiz.de/10010487462

Polynomial jump-diffusion models

Filipović, Damir; Larsson, Martin - 2017

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and Lévy time change. We...

Persistent link: https://www.econbiz.de/10011874871