2 citations · 8 across the 13 of their papers we have counts for
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math.PR2013★ 2 cited
Density functions in high-dimensional basket options
Alexander Kushpel
We consider an important class of derivative contracts written on multiple assets (so-called spread options) which are traded on a wide range of financial markets. The present pape…
stat.AP2013★ 1 cited
Lévy driven models and derivative pricing
Alexander Kushpel, Jeremy Levesley
We develop a general method for derivative pricing. This approach has its roots in Shannon's Information Theory. The notion of -analyticity of Lévy models is introduced on the b…