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Variance Gamma model in hedging vanilla and exotic options

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Hughston, Lane P.; Sánchez-Betancourt, Leandro - In: Risks : open access journal 8 (2020) 4/105, pp. 1-22

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {F t } t≥0 {Ft}t≥0 is generated by an information process {ξ t } t≥0 {ξt}t≥0 defined in such a way that at some fixed time T an F T FT -measurable random variable X T XT is "revealed". A cash...

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A structural model for credit risk with switching processes and synchronous jumps

Hainaut, Donatien; Colwell, David B. - In: The European journal of finance 22 (2016) 10/12, pp. 1040-1062

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Multivariate asset models using Lévy processes and applications

Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350

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Early exercise boundaries for American-style knock-out options

Nunes, Joaõ Pedro Vidal; Ruas, João Pedro; Dias, … - In: European journal of operational research : EJOR 285 (2020) 2, pp. 753-766

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Marginal consistent dependence modelling using weak subordination for Brownian motions

Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925

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Option pricing in exponential Lévy models with transaction cost

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Error analysis in Fourier methods for option pricing

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Pricing variance and volatility swaps for Barndorff-Nielsen and Shephard process driven financial markets

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Pricing covariance swaps for Barndorff-Nielsen and Shephard process driven financial markets

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