10 citations · 13 across the 5 of their papers we have counts for
5 papers
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…
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…
Asians and cash dividends: Exploiting symmetries in pricing theory
Jiri Hoogland, Dimitri Neumann
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale…
Scaling invariance in finance II: Path-dependent contingent claims
Jiri Hoogland, Dimitri Neumann
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of de…
Scale-invariance and contingent claim pricing
Jiri Hoogland, Dimitri Neumann
Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instru…