Author: Ouwehand, Peter
Similar Items: The non-parametric calibration of jump-diffusion lévy models
- Calibration and Model Risk in the Pricing of Exotic Options Under Pure-Jump Lévy Dynamics
- American Monte Carlo option pricing under pure jump levy models
- The Levy-LIBOR model with default risk
- Pricing multi-asset options with levy copulas
- Model risk for barrier options when priced under different lévy dynamics
- Fourier methods for pricing early-exercise options under levy dynamics