58 citations · 141 across the 11 of their papers we have counts for
13 papers
A structural approach to default modelling with pure jump processes
Jean-Philippe Aguilar, Nicolas Pesci, Victor James
We present a general framework for the estimation of corporate default based on a firm's capital structure, when its assets are assumed to follow a pure jump Lévy processes; this s…
Explicit option valuation in the exponential NIG model
Jean-Philippe Aguilar
We provide closed-form pricing formulas for a wide variety of path-independent options, in the exponential Lévy model driven by the Normal inverse Gaussian process. The results are…
Some pricing tools for the Variance Gamma model
Jean-Philippe Aguilar
We establish several closed pricing formula for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form…
The value of power-related options under spectrally negative Lévy processes
Jean-Philippe Aguilar
We provide analytical tools for pricing power options with exotic features (capped or log payoffs, gap options ...) in the framework of exponential Lévy models driven by one-sided…
On expansions for the Black-Scholes prices and hedge parameters
Jean-Philippe Aguilar
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known ap…
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
Jean-Philippe Aguilar, Jan Korbel
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in t…