From Characteristic Function to Distribution Function: A Simple Framework for the Theory
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- Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
- Simon A. Broda & Raymond Kan, 2016. "On distributions of ratios," Biometrika, Biometrika Trust, vol. 103(1), pages 205-218.
- Simon Trimborn & Wolfgang Karl Härdle, 2015. "CRIX or evaluating Blockchain based currencies," SFB 649 Discussion Papers SFB649DP2015-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Oleksandr Zhylyevskyy, 2010.
"A fast Fourier transform technique for pricing American options under stochastic volatility,"
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- Zhylyevskyy, Oleksandr, 2009. "A Fast Fourier Transform Technique for Pricing American Options Under Stochastic Volatility," Staff General Research Papers Archive 13112, Iowa State University, Department of Economics.
- Simi, Wei W. & Wang, Xiaoli, 2013. "Time-changed Lévy jump processes with GARCH model on reverse convertibles," Review of Financial Economics, Elsevier, vol. 22(4), pages 206-212.
- repec:eee:apmaco:v:273:y:2016:i:c:p:741-758 is not listed on IDEAS
- Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers Archive 35559, Iowa State University, Department of Economics.
- Susanne Griebsch & Uwe Wystup, 2011.
"On the valuation of fader and discrete barrier options in Heston's stochastic volatility model,"
Taylor & Francis Journals, vol. 11(5), pages 693-709.
- Griebsch, Susanne & Wystup, Uwe, 2008. "On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model," CPQF Working Paper Series 17, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
- Pavel V. Shevchenko, 2010. "Calculation of aggregate loss distributions," Papers 1008.1108, arXiv.org.
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