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On the optimality of periodic barrier strategies for a spectrally positive Lévy process
Pérez, José-Luis; Yamazaki, Kazutoshi - In: Insurance / Mathematics & economics 77 (2017), pp. 1-13
Persistent link: https://www.econbiz.de/10011783865
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Pricing spread options by generalized bivariate edgeworth expansion
Kao, Edward P.; Xie, Weiwei - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-30
Persistent link: https://www.econbiz.de/10011777833
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Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes
Lian, Guanghua; Zhu, Song-Ping; Elliott, Robert J.; … - In: Journal of banking & finance 75 (2017), pp. 167-183
Persistent link: https://www.econbiz.de/10011742159
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Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo - In: Review of derivatives research 19 (2016) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
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Skewed Lévy models and implied volatility skew
Olivera, Federico de; Barbachan, José Santiago Fajardo; … - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011854458
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Multivariate option pricing models with Lévy and Sato VG marginal processes
Guillaume, Florence - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10011854500
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A new factor to explain implied volatility smirk
Barbachan, José Santiago Fajardo - In: Applied economics 49 (2017) 40, pp. 4026-4034
Persistent link: https://www.econbiz.de/10011820005
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Modelling electricity swaps with stochastic forward premium models
Blanco, Iván; Peña Sánchez de Rivera, Juan Ignacio; … - In: The energy journal 39 (2018) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10011825389
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Approximate pricing of call options on the quadratic variation in Lévy models
Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016
Persistent link: https://www.econbiz.de/10011800371
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Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016
Persistent link: https://www.econbiz.de/10011800392