78 citations · 171 across the 33 of their papers we have counts for
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q-fin.PR2014★ 1 cited
Geometric Asian Option Pricing in General Affine Stochastic Volatility Models with Jumps
Friedrich Hubalek, Martin Keller-Ressel, Carlo Sgarra
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which severa…
math.PR2014
Simple examples of pure-jump strict local martingales
Martin Keller-Ressel
We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the str…