Efficient Static Replication of European Options Under Exponential Lévy Models

Journal of Futures Markets - United States
doi 10.1002/fut.20339
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Wiley

Related search

Connecting Discrete and Continuous Lookback or Hindsight Options in Exponential Lévy Models

Advances in Applied Probability
Applied MathematicsStatisticsProbability
2011English

Integrating Volatility Clustering Into Exponential Lévy Models

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2009English

Semi-Static Hedging of Barrier Options Under Poisson Jumps

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2011English

Nonparametric Estimation of Time-Changed Lévy Models Under High-Frequency Data

Advances in Applied Probability
Applied MathematicsStatisticsProbability
2009English

Power Identities for Lévy Risk Models Under Taxation and Capital Injections

Stochastic Systems
2014English

On the Exponential Ergodicity of Lévy-Driven Ornstein--Uhlenbeck Processes

Journal of Applied Probability
MathematicsStatisticsUncertaintyProbability
2012English

A Highly Efficient Shannon Wavelet Inverse Fourier Technique for Pricing European Options

SIAM Journal of Scientific Computing
Computational MathematicsApplied Mathematics
2016English

Installment Options and Static Hedging

2001English

Adjoint Expansions in Local Lévy Models

SSRN Electronic Journal
2011English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy