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Grégory Rayée

This is information that was supplied by Grégory Rayée in registering through RePEc. If you are Grégory Rayée, you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name:Grégory
Middle Name:
Last Name:Rayée
RePEc Short-ID:pra387
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  1. Laura Ballota & Griselda Deelstra & Grégory Rayée, 2015. "Quanto Implied Correlation in a Multi-Lévy Framework," Working Papers ECARES ECARES 2015-36, ULB -- Universite Libre de Bruxelles.
  2. Griselda Deelstra & Gr\'egory Ray\'ee, 2012. "Local Volatility Pricing Models for Long-dated FX Derivatives," Papers 1204.0633,
  3. Griselda Deelstra & Gr\'egory Ray\'ee, 2012. "Pricing Variable Annuity Guarantees in a Local Volatility framework," Papers 1204.0453,, revised Apr 2012.
  4. Fr\'ed\'eric Bossens & Gr\'egory Ray\'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074,, revised May 2010.
  1. Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
  2. Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing, 2014. "Using Model-Independent Lower Bounds to Improve Pricing of Asian Style Options in Lévy Markets," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 44(02), pages 237-276, May.
  3. Deelstra, Griselda & Rayée, Grégory, 2013. "Pricing Variable Annuity Guarantees in a local volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 650-663.
  4. Griselda Deelstra & Grégory Rayée, 2013. "Local Volatility Pricing Models for Long-Dated FX Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(4), pages 380-402, September.
  5. Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra, 2010. "Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1293-1324.

    RePEc:wsi:ijtafx:v:13:y:2010:i:08:p:1293-1324 is not listed on IDEAS
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. No paper was announced in a field specific NEP report

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