Lynn Boen

University of Antwerp - Department of Mathematics and Computer Science

PhD Student

Prinsstraat 13

Antwerp, 2000

Belgium

SCHOLARLY PAPERS

2

DOWNLOADS

63

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Towards a Delta-Gamma Sato Multivariate Model

Number of pages: 35 Posted: 18 Jan 2017
Lynn Boen and Florence Guillaume
University of Antwerp - Department of Mathematics and Computer Science and Independent
Downloads 47 (425,421)

Abstract:

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Multivariate Asset Pricing, Difference of Gamma Processes, Difference of Gamma Sato

2.

European Rainbow Option Values under the Two-Asset Merton Jump-Diffusion Model

L. Boen, European rainbow option values under the two-asset Mertonjump-diffusion model, Journal of Computational and Applied Mathematics (2019), DOI: 10.1016/j.cam.2019.112344
Number of pages: 17 Posted: 09 Dec 2018 Last Revised: 18 Jul 2019
Lynn Boen
University of Antwerp - Department of Mathematics and Computer Science
Downloads 16 (582,116)

Abstract:

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Option pricing; jump-diffusion; European options; rainbow options; equivalent martingale measure