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A model is developed that can price path dependent options when the underlying process is an exponential Levy process with closed form conditional characteristic function. The model is an extension… (More)
The accelerated trinomial tree (ATT) is a derivatives pricing lattice method that circumvents the restrictive time step condition inherent in standard trinomial trees and explicit finite difference… (More)
Publisher states this book is due for publication Sept 2018, after which a one year embargo applies and need to contact permission again once this has expired.
Accelerated Trinomial Trees (ATTs) are a derivatives pricing lattice method that circumvent the restrictive time step condition inherent in standard trinomial trees and explicit finite difference… (More)
A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a… (More)