4 citations · 10 across the 3 of their papers we have counts for
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q-fin.PR2018★ 2 cited
Cliquet option pricing in a jump-diffusion Lévy model
Markus Hess
We investigate the pricing of cliquet options in a jump-diffusion model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a dri…
q-fin.PR2018★ 4 cited
Cliquet option pricing with Meixner processes
Markus Hess
We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a…