scientific article; zbMATH DE number 1897411
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Publication:4802406
zbMath1113.91320MaRDI QIDQ4802406
Publication date: 27 April 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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Comparison of option prices in semimartingale models ⋮ Analysis of variance based instruments for Ornstein-Uhlenbeck type models: swap and price index ⋮ Some recent developments in stochastic volatility modelling ⋮ On the Pricing of American Options in Exponential Lévy Markets ⋮ Variance swaps, volatility swaps, hedging and bounds under multi-factor Heston stochastic volatility model ⋮ Logarithmic utility maximization in an exponential Lévy model
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