Thomas Lonon

Stevens Institute of Technology

Hoboken, NJ 07030

United States

SCHOLARLY PAPERS

3

DOWNLOADS

13

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

Stevens Institute of Technology School of Business Research Paper
Number of pages: 35 Posted: 06 Nov 2018
Thomas Lonon and Ionut Florescu
Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 13 (609,114)

Abstract:

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option pricing, jump diffusion, log mix-norm

2.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017
Posted: 20 May 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business
Downloads 0 (721,207)

Abstract:

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variance swap, gamma swap, corridor swap, realized variance, stochastic volatility models, tree approximations

3.

Pricing Bermudan Variance Swaptions Using Multinomial Trees

The Journal of Derivatives Spring 2019, 26 (3) 22-34, http://jod.pm-research.com/content/26/3/22
Posted: 15 Jun 2018 Last Revised: 05 Oct 2019
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology - School of Business

Abstract:

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variance swaption, stochastic volatility, multinomial tree