PricingMixedTS

MaRDI QIDQ39158swMATHFDO

Official website https://link.springer.com/article/10.1007%2Fs10479-016-2180-x

Described by source

• Option pricing in an exponential mixedts Lévy process

Cited in

(4)

• VIX derivatives, hedging and vol-of-vol risk
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Sinc-Pack
• Hilbert transform, spectral filters and option pricing

This page was built for software: PricingMixedTS