scientific article; zbMATH DE number 1795856

zbMath1002.60013MaRDI QIDQ4550923

Klaus Schürger

Publication date: 1 January 2003

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

momentsLaplace transformBessel processLévy process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10)

Related Items (10)

Exotic options under Lévy models: an overview ⋮ Semi-Robust Replication of Barrier-Style Claims on Price and Volatility ⋮ Robust replication of volatility and hybrid derivatives on jump diffusions ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure ⋮ Branching stable processes and motion by mean curvature flow ⋮ A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options ⋮ Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity ⋮ Variance and volatility swaps valuations with the stochastic liquidity risk ⋮ Bond indifference prices

This page was built for publication: