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101
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
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102
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow
- In:
Finance and stochastics
18
(
2014
)
3
,
pp. 487-514
Persistent link: https://www.econbiz.de/10010396056
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103
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
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104
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
105
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
Saved in:
106
Power utility maximization in constrained exponential Lévy models
Nutz, Marcel
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 690-709
Persistent link: https://www.econbiz.de/10009614940
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107
A remarkable [sigma]-finite measure associated with last passage times and penalisation problems
Najnudel, Joseph
;
Nikeghbali, Ashkan
- In:
Contemporary quantitative finance : essays in honour of …
,
(pp. 77-97)
.
2010
Persistent link: https://www.econbiz.de/10008749310
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108
Modern view on Merton’s jump-diffusion model
Cheung, Gerald H. L.
;
Chiarella, Carl
-
2011
Persistent link: https://www.econbiz.de/10009563108
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109
Hedging derivatives
Rheinländer, Thorsten
;
Sexton, Jenny
-
2011
Persistent link: https://www.econbiz.de/10009233654
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110
Change of time and change of measure
Barndorff-Nielsen, Ole E.
;
Širjaev, Alʹbert N.
-
2010
Persistent link: https://www.econbiz.de/10009237173
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