3 papers
math.PR2018
Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing
Zorana Grbac, David Krief, Peter Tankov
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential Lévy models,…
q-fin.PR2018
Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing
Aurélien Alfonsi, David Krief, Peter Tankov
We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3)…
q-fin.PR2015
Approximate Option Pricing in the Lévy Libor Model
Zorana Grbac, David Krief, Peter Tankov
In this paper we consider the pricing of options on interest rates such as caplets and swaptions in the Lévy Libor model developed by Eberlein and Özkan (2005). This model is an ex…