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Pricing swaps on discrete realized higher moments under the lévy process
Zhu, Wenli; Ruan, Xinfeng - In: Computational economics 53 (2019) 2, pp. 507-532
Persistent link: https://www.econbiz.de/10012134734
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Lévy processes on the cryptocurrency market
Zięba, Damian - 2019
Persistent link: https://www.econbiz.de/10012196575
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The estimation for Lévy processes in high frequency data
Zheng, Jing; Gu, Wentao; Xu, Baolin; Cai, Zongwu - In: Econometric reviews 37 (2018) 6/10, pp. 1051-1066
Persistent link: https://www.econbiz.de/10012040536
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Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility
Li, Shuang; Zhou, Yanli; Wu, Yonghong; Ge, Xiangyu - In: Australian journal of management 42 (2017) 2, pp. 276-295
Persistent link: https://www.econbiz.de/10011774879
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Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
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A numerical method to approximate multi-asset option pricing under exponential Lévy model
Khodayari, Leila; Ranjbar, Mojtaba - In: Computational economics 50 (2017) 2, pp. 189-205
Persistent link: https://www.econbiz.de/10011762378
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Double asymptotics for explosive continuous time models
Wang, XiaoHu; Yu, Jun - In: Journal of econometrics 193 (2016) 1, pp. 35-53
Persistent link: https://www.econbiz.de/10011704761
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Tempered stable process, first passage time, and path-dependent option pricing
Kim, Young Shin - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 187-215
Persistent link: https://www.econbiz.de/10011993461
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Pricing discrete double barrier options under Lévy processes : an extension of the method by Milev and Tagliani
Xiao, Shuang; Ma, Shihua - In: Finance research letters 19 (2016), pp. 67-74
Persistent link: https://www.econbiz.de/10011657452
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Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
Zhao, Yongxia; Chen, Ping; Yang, Hailiang - In: Insurance / Mathematics & economics 74 (2017), pp. 135-146
Persistent link: https://www.econbiz.de/10011712427