1 citations · 2 across the 4 of their papers we have counts for
4 papers
Multivariate Residual Estimation Risk
D. J. Manuge
The purpose of this paper is to describe and extend the use of the newly-introduced measure, residual estimation risk. Following the seminal work of Bignozzi and Tsanakas, the quan…
Lévy Processes For Finance: An Introduction In R
D. J. Manuge
This brief manuscript provides an introduction to Lévy processes and their applications in finance as the random process that drives asset models. Characteristic functions and rand…
A fast Fourier transform method for Mellin-type option pricing
D. J. Manuge, P. T. Kim
Analytical pricing formulas and Greeks are obtained for European and American basket put options using Mellin transforms. We assume assets are driven by geometric Brownian motion w…
Multi-Asset Option Pricing with Exponential Lévy Processes and the Mellin Transform
D. J. Manuge
Exponential Lévy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional a…