2 papers
q-fin.CP2026
Valuing American options and Flexible Forwards contracts in time-dependent models
Leif Andersen, Andrey Itkin, Rakhymzhan Kazbek
A flexible forward (FF) is a customized FX hedging instrument that guarantees a fixed exchange rate while letting the holder choose the delivery date within a pre-agreed window. It…
q-fin.PR2012
Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Leif Andersen, Alexander Lipton
Exponential Lévy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing…