American and exotic option pricing with jump diffusions and other Lévy processes

von Kirkby, J. Lars
Veröffentlicht in The journal of computational finance (2018)

Robust barrier option pricing by frame projection under exponential Lévy dynamics

von Kirkby, J. Lars
Veröffentlicht in Applied mathematical finance (2017)

Robust option pricing with characteristic functions and the B-spline order of density projection

von Kirkby, J. Lars
Veröffentlicht in The journal of computational finance (2017)

Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

von Kirkby, J. Lars
Veröffentlicht in European journal of operational research (2023)

Swing option pricing by dynamic programming with B-spline density projection

von Kirkby, J. Lars
Veröffentlicht in International journal of theoretical and applied finance (2019)

Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging

von Kirkby, J. Lars
Veröffentlicht in Insurance / Mathematics & economics (2021)

Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models

von Kirkby, J. Lars
Veröffentlicht in Annals of finance (2020)

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

von Cui, Zhenyu
Veröffentlicht in Insurance / Mathematics & economics (2017)

A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

von Cui, Zhenyu
Veröffentlicht in European journal of operational research (12017)

An analysis of dollar cost averaging and market timing investment strategies

von Kirkby, J. Lars
Veröffentlicht in European journal of operational research (2020)

Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations

von Cui, Zhenyu
Veröffentlicht in European journal of operational research (2021)

A general framework for time-changed Markov processes and applications

von Cui, Zhenyu
Veröffentlicht in European journal of operational research (2019)

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

von Kirkby, J. Lars
Veröffentlicht in Journal of economic dynamics & control (2017)

The CTMC–Heston model : calibration and exotic option pricing with SWIFT

von Leitao, Álvaro
Veröffentlicht in The journal of computational finance (2021)

Integral representations of probability density of stochastic volatility models and timer options

von Cui, Zhenyu
Veröffentlicht in International journal of theoretical and applied finance (2017)

Sinh-acceleration for B-spline projection with option pricing applications

von Bojarčenko, Svetlana I.
Veröffentlicht in International journal of theoretical and applied finance (2021)