10 citations · 10 across the 2 of their papers we have counts for
2 papers
cond-mat2001★ 10 cited
Symmetries in jump-diffusion models with applications in option pricing and credit risk
Jiri Hoogland, Dimitri Neumann, Michel Vellekoop
It is a well known fact that local scale invariance plays a fundamental role in the theory of derivative pricing. Specific applications of this principle have been used quite often…
cond-mat.stat-mech2000
Tradable Schemes
Jiri Hoogland, Dimitri Neumann
In this article we present a new approach to the numerical valuation of derivative securities. The method is based on our previous work where we formulated the theory of pricing in…