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q-fin.MF2020
Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing
Walter Farkas, Ludovic Mathys
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing litera…
q-fin.MF2020
Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps
Walter Farkas, Ludovic Mathys, Nikola Vasiljević
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk is along the lines of the approach taken in Boudoukh, Richar…