PricingMixedTS

swMATH27442MaRDI QIDQ39158FDOQ39158

Author name not available (Why is that?)

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)

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

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