A forward started jump-diffusion model and pricing of cliquet style exotics
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Publication:5962132
DOI10.1007/s11147-009-9045-2zbMath1231.91464OpenAlexW3121585597MaRDI QIDQ5962132
Publication date: 16 September 2010
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11147-009-9045-2
Cites Work
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- Barrier options and their static hedges: simple derivations and extensions
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Stochastic Volatility for Lévy Processes
- Financial Modelling with Jump Processes
- Option pricing when underlying stock returns are discontinuous
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