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Found 14 Documents (Results 1–14)

Basket option pricing and implied correlation in a one-factor Lévy model. (English) Zbl 1398.91605

Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 335-367 (2016).
MSC:  91G20 60G51
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A generic one-factor Lévy model for pricing synthetic CDOs. (English) Zbl 1154.91421

Fu, Michael C. (ed.) et al., Advances in mathematical finance. Papers presented at the ‘Mathematical finance conference in honor of the 60th birthday of Dilip B. Madan’, College Park, MD, USA, September 29 – October 1, 2006. Boston, MA: Birkhäuser (ISBN 978-0-8176-4544-1/hbk). Applied and Numerical Harmonic Analysis, 259-277 (2007).
MSC:  91G40 91B30 60G51
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