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Publications by John Crosby

Pricing a Class of Exotic Commodity Options in a Multi-Factor Jump-Diffusion Model

Quantitative Finance

English

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Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model

Journal of Applied Probability

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Cliquet Option Pricing in a Jump-Diffusion Lévy Model

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Option Pricing Under a Double Exponential Jump Diffusion Model

SSRN Electronic Journal

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Stochastic Volatility Jump-Diffusion Model for Option Pricing

Journal of Mathematical Finance

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Pricing Vulnerable Options With Jump Clustering

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Pricing Asian Options in a Semimartingale Model

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Perpetual Barrier Options in Jump-Diffusion Models

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Establishment and Application of Multi-Factor Pricing Model in China A-Shares Market

International Journal of Economics, Finance and Management Sciences

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An Empirical Study on the Jump-Diffusion Two-Beta Asset Pricing Model

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