Approximate Option Pricing in the Lévy Libor Model
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Publication:4976512
DOI10.1007/978-3-319-45875-5_19zbMath1367.91177arXiv1511.08466OpenAlexW3121443597MaRDI QIDQ4976512
Peter Tankov, Zorana Grbac, David Krief
Publication date: 31 July 2017
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.08466
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Jump-adapted discretization schemes for Lévy-driven SDEs
- Smart expansion and fast calibration for jump diffusions
- The Lévy LIBOR model
- A jump-diffusion Libor model and its robust calibration
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Time Dependent Heston Model
- The Market Model of Interest Rate Dynamics
- Robust Libor Modelling and Pricing of Derivative Products
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