Sato processes and the valuation of structured products (Q3182646): Difference between revisions

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+https://doi.org/10.1080/14697680701861419
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+W3123626266
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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+Pricing options on realized variance
@@ Property / cites work: Pricing options on realized variance / rank @@
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+On defining long-range dependence
@@ Property / cites work: On defining long-range dependence / rank @@
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+Option pricing using variance gamma Markov chains
@@ Property / cites work: Option pricing using variance gamma Markov chains / rank @@
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
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+Self-similar processes with independent increments
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+Q4937701
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+Publication:3182646