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机译:随机波动率Lévy过程模型下的期权定价和对冲
Department of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, Karlsruhe Institute of Technology, Karlsruhe, Germany;
EDHEC Business School, New York, NY, USA;
HECTOR School of Engineering and Management, International Department, Karlsruhe Institute of Technology, Karlsruhe, Germany;
Department of Statistics, Econometrics and Mathematical Finance, School of Economics and Business Engineering, Karlsruhe Institute of Technology, Karlsruhe, Germany;
Option pricing; Hedging; Stochastic volatility; Continuous Markov chain; Regime-switching model; Lévy process; Esscher transform; C6; G11; G12; G13;
机译:具有随机利率的随机波动率Lévy模型的欧式期权定价
机译:Lévy跳跃的随机波动率模型的分布,密度和期权价格的小时间扩展
机译:定价易受伤害的欧洲选项下的levy流程下的随机波动性
机译:使用双边拉普拉斯变换驱动的模型欧洲期权价格分析解决方案的替代形式
机译:数学金融方面的三篇论文:风险中性随机波动率模型:分析和统计研究。隐含的外汇期权交易量的期限结构的E-ARCH模型。亚洲期权定价的数字方案。
机译:Lévy过程下期权定价的有限差分方法:Wiener-Hopf因式分解方法
机译:具有随机利率的随机波动率L&#vy模型的欧式期权定价