Pure jump Levy processes for asset price modelling
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 26 (2002)
Issue (Month): 7 (July)
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- Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
- Claudia Ribeiro & Nick Webber, 2006. "Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Levy Processes," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 333-352.
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- Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
- Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
- Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
- Klößner, Stefan & Becker, Martin & Friedmann, Ralph, 2012. "Modeling and measuring intraday overreaction of stock prices," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1152-1163.
- Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.
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