Matthias Thul

IMC Financial Markets

Strawinskylaan 377, WTC D-tower

Amsterdam, 1077 XX

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

325

CITATIONS

0

Scholarly Papers (2)

1.

Analytical Option Pricing Under an Asymmetrically Displaced Double Gamma Jump-Diffusion Model

26th Australasian Finance and Banking Conference 2013, Swiss Finance Institute Research Paper No. 17-78
Number of pages: 48 Posted: 18 Aug 2013 Last Revised: 12 Feb 2018
Matthias Thul and Ally Zhang
IMC Financial Markets and University of Zurich - Department of Banking and Finance
Downloads 135 (124,170)

Abstract:

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displaced tails, jump-diffusion, option pricing, maximum likelihood estimation

2.

How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates

Quantitative Finance, Vol. 17, No. 9
Number of pages: 49 Posted: 02 Feb 2014 Last Revised: 04 Jan 2018
Ally Zhang and Matthias Thul
University of Zurich - Department of Banking and Finance and IMC Financial Markets
Downloads 0 (228,622)

Abstract:

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leveraged certificates, barrier options, overnight gap, risk management