On computing the price of financial instruments in foreign currency
From MaRDI portal
Publication:1796242
DOI10.1134/S0005117918040094zbMath1397.91570OpenAlexW2797927402MaRDI QIDQ1796242
Publication date: 17 October 2018
Published in: Automation and Remote Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0005117918040094
Cites Work
- Unnamed Item
- Unnamed Item
- On exact pricing of FX options in multivariate time-changed Lévy models
- On predicting the maximum of a semimartingale and the optimal moment to sell a stock
- Esscher transform and the duality principle for multidimensional semimartingales
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- On the range of options prices
- The cumulant process and Esscher's change of measure
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
- Multivariate time changes for Lévy asset models: characterization and calibration
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
- A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
- Option Pricing With V. G. Martingale Components1
- The Variance Gamma Process and Option Pricing
- On American Options Under the Variance Gamma Process
- On the Pricing of American Options in Exponential Lévy Markets
