Hess, Markus A pure-jump mean-reverting short rate model. (English) Zbl 1452.91318 Mod. Stoch., Theory Appl. 7, No. 2, 113-134 (2020). MSC: 91G30 91G20 60G51 60J70 PDFBibTeX XMLCite \textit{M. Hess}, Mod. Stoch., Theory Appl. 7, No. 2, 113--134 (2020; Zbl 1452.91318) Full Text: DOI arXiv
Hess, Markus Cliquet option pricing in a jump-diffusion Lévy model. (English) Zbl 1412.60055 Mod. Stoch., Theory Appl. 5, No. 3, 317-336 (2018). MSC: 60G10 60G51 60H10 91B30 91B70 PDFBibTeX XMLCite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 3, 317--336 (2018; Zbl 1412.60055) Full Text: DOI arXiv
Hess, Markus Cliquet option pricing with Meixner processes. (English) Zbl 1390.91301 Mod. Stoch., Theory Appl. 5, No. 1, 81-97 (2018). MSC: 91G20 60G51 60H10 60H30 PDFBibTeX XMLCite \textit{M. Hess}, Mod. Stoch., Theory Appl. 5, No. 1, 81--97 (2018; Zbl 1390.91301) Full Text: DOI arXiv