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Optimal Fourier Inversion in Semi-analytical Option Pricing. (2007). Kahl, Christian ; Lord, Roger.
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20060066.

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  1. Quasi-Monte Carlo with Domain Transformation for Efficient Fourier Pricing of Multi-Asset Options. (2025). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis.
    In: Papers.
    RePEc:arx:papers:2403.02832.

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  2. On the relative performance of some parametric and nonparametric estimators of option prices. (2024). Marinelli, Carlo ; D'Addona, Stefano.
    In: Papers.
    RePEc:arx:papers:2412.00135.

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  3. Optimal Damping with Hierarchical Adaptive Quadrature for Efficient Fourier Pricing of Multi-Asset Options in L\evy Models. (2023). Tempone, Ra'Ul ; Samet, Michael ; Bayer, Christian ; ben Hammouda, Chiheb ; Papapantoleon, Antonis.
    In: Papers.
    RePEc:arx:papers:2203.08196.

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  4. Option Pricing by the Legendre Wavelets Method. (2022). Doostaki, Reza ; Hosseini, Mohammadmehdi.
    In: Computational Economics.
    RePEc:kap:compec:v:59:y:2022:i:2:d:10.1007_s10614-021-10100-1.

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  5. Pricing longevity derivatives via Fourier transforms. (2021). Bravo, Jorge ; Vidal, Joo Pedro.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:96:y:2021:i:c:p:81-97.

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  6. Delta Hedging with Transaction Costs: Dynamic Multiscale Strategy using Neural Nets. (2021). Serur, J A ; Mazzei, G ; Bellora, F G.
    In: Papers.
    RePEc:arx:papers:2109.12337.

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  7. How Does the Volatility of Volatility Depend on Volatility?. (2020). Romer, Sigurd Emil ; Poulsen, Rolf.
    In: Risks.
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  8. Notes on the SWIFT method based on Shannon Wavelets for Option Pricing. (2020). le Floc, Fabien.
    In: Papers.
    RePEc:arx:papers:2005.13252.

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  9. Small-time, large-time and $H\to 0$ asymptotics for the Rough Heston model. (2020). Gerhold, Stefan ; Forde, Martin ; Smith, Benjamin.
    In: Papers.
    RePEc:arx:papers:1906.09034.

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  10. Moment explosions in the rough Heston model. (2019). Gerhold, Stefan ; Gerstenecker, Christoph ; Pinter, Arpad.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00267-6.

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  11. Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching. (2019). Siu, Tak Kuen ; Ching, Wai-Ki ; Lu, Jiejun ; Zhu, Dong-Mei.
    In: Computational Economics.
    RePEc:kap:compec:v:53:y:2019:i:2:d:10.1007_s10614-017-9754-9.

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  12. Moment Explosions in the Rough Heston Model. (2018). Gerhold, Stefan ; Gerstenecker, Christoph ; Pinter, Arpad.
    In: Papers.
    RePEc:arx:papers:1801.09458.

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  13. Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante.
    In: International Journal of Financial Engineering (IJFE).
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  14. Pricing foreign equity option under stochastic volatility tempered stable Lévy processes. (2017). Zhuang, Xintian ; Gong, Xiaoli.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:483:y:2017:i:c:p:83-93.

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  15. Calibration and Filtering of Exponential L\evy Option Pricing Models. (2017). Sioutis, Stavros J.
    In: Papers.
    RePEc:arx:papers:1705.04780.

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  16. Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. (2016). Kwok, Yue Kuen ; Zeng, Pingping.
    In: Quantitative Finance.
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  17. On a Transform Method for the Efficient Computation of Conditional V@R (and V@R) with Application to Loss Models with Jumps and Stochastic Volatility. (2016). Ramponi, Alessandro.
    In: Methodology and Computing in Applied Probability.
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  18. Option pricing and hedging for optimized Lévy driven stochastic volatility models. (2016). Zhuang, Xin-Tian ; Gong, Xiao-Li.
    In: Chaos, Solitons & Fractals.
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  19. Exchange Options when One Underlying Price Can Jump. (2010). Randrianarivony, Rivo ; Quittard-Pinon, Franois.
    In: Finance.
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  20. Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility. (2009). Pelsser, Antoon ; Lord, Roger ; Schrager, David ; van Haastrecht, Alexander.
    In: Insurance: Mathematics and Economics.
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  21. Accelerating the calibration of stochastic volatility models. (2007). Kilin, Fiodar.
    In: MPRA Paper.
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  22. A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes. (2007). Oosterlee, Cornelis ; Lord, Roger ; Fang, Fang ; Bervoets, Frank.
    In: MPRA Paper.
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  23. Why the Rotation Count Algorithm works. (2006). Kahl, Christian ; Lord, Roger.
    In: Tinbergen Institute Discussion Papers.
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    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0606.

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  48. Subordinated Levy Processes and Applications to Crude Oil Options. (2005). Krichene, Noureddine.
    In: IMF Working Papers.
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  49. Option Pricing with Levy-Stable Processes. (2004). Cartea, Álvaro ; Howison, Sam.
    In: OFRC Working Papers Series.
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  50. Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility. (2003). Scaillet, Olivier.
    In: THEMA Working Papers.
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