Grégory Rayée

Available identifiers

zbMath Open rayee.gregoryMaRDI QIDQ1753548

List of research outcomes

Publication	Date of Publication	Type
Smiles \& smirks: volatility and leverage by jumps	2022-02-22	Paper
Multivariate FX models with jumps: triangles, quantos and implied correlation	2018-05-29	Paper
Pricing variable annuity guarantees in a local volatility framework	2014-06-23	Paper
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS	2014-06-11	Paper
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE	2011-01-20	Paper

Research outcomes over time

This page was built for person: Grégory Rayée