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Geometrically convergent simulation of the extrema of Lévy processes
González Cázares, Jorge Ignacio; Mijatović, Aleksandar; … - In: Mathematics of operations research 47 (2022) 2, pp. 1141-1168
Persistent link: https://www.econbiz.de/10013365090
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The Parisian and ultimate drawdowns of Lévy insurance models
Li, Shu; Zhou, Xiaowen - In: Insurance / Mathematics & economics 107 (2022), pp. 140-160
Persistent link: https://www.econbiz.de/10013471204
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Smiles & smirks : volatility and leverage by jumps
Ballotta, Laura; Rayée, Grégory - In: European journal of operational research : EJOR 298 (2022) 3, pp. 1145-1161
Persistent link: https://www.econbiz.de/10013206930