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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

Forward equations for option prices in semimartingale models

Bentata, Amel; Cont, Rama - In: Finance and stochastics 19 (2015) 3, pp. 617-651

Persistent link: https://www.econbiz.de/10011418317

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

Analyzing the spectrum of asset returns: jump and volatility components in high frequency data

Aït-Sahalia, Yacine; Jacod, Jean - In: Journal of economic literature 50 (2012) 4, pp. 1007-1050

Persistent link: https://www.econbiz.de/10009696498

Jointly estimating jump beats

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

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...

Persistent link: https://www.econbiz.de/10011524214

Generalized BN-S stochastic volatility model for option pricing

SenGupta, Indranil - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011455400

Generalized ARMA models with martingale difference errors

Zheng, Tingguo; Xiao, Han; Chen, Rong - In: Journal of econometrics 189 (2015) 2, pp. 492-506

Persistent link: https://www.econbiz.de/10011504639

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