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On Kolmogorov equations for anisotropic multivariate Lévy processes
16 references·2 citing·34 second hop
On Kolmogorov equations for anisotropic multivariate Lévy processes (2009)On Kolmogorov equations for anisotropic m…Characterization of dependence of multidimensional Lévy processes using Lévy copulas (2006)Characterization of dependenc…Integro-differential equations for option prices in exponential Lévy models (2005)Integro-differential equation…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Exponential Hedging and Entropic Penalties (2002)Exponential Hedging and Entro…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The fundamental theorem of as…Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Optimal Stopping, Free Bounda…On the range of options prices (1997)On the range of options pricesThe Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…Optimal Control with State-Space Constraint. II (1986)Optimal Control with State-Sp…On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation (2019)On the pricing of multi-asset…Numerical methods for Lévy processes (2009)Numerical methods for Lévy pr…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)Optimal replication of contingent claims under transaction costs (1989)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The cumulant process and Esscher's change of measure (2002)Inf-convolution of risk measures and optimal risk transfer (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)LIBOR and swap market models and measures (1997)A Benchmark Approach to Quantitative Finance (2006)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Theory of Rational Option Pricing (1973)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)Stochastic Integration and Differential Equations (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Processes of normal inverse Gaussian type (1997)Modelling by Lévy Processess for Financial Econometrics (2001)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
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  • 2005Integro-differential equations for option prices in exponential Lévy models176 cited

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  • 1997On the range of options prices149 cited
  • Cited by

    • 2009Numerical methods for Lévy processes34 cited
    • 2019On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation29 cited