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Alan L Lewis
Alan L Lewis
Newport Beach
Dirección de correo verificada de financepress.com - Página principal
Título
Citado por
Citado por
Año
Option Valuation under Stochastic Volatility II
AL Lewis
Finance Press, 2016
1091*2016
A simple option formula for general jump-diffusion and other exponential Lévy processes
AL Lewis
Available at SSRN 282110, 2001
5042001
Wiener-Hopf factorization for Lévy processes having positive jumps with rational transforms
AL Lewis, E Mordecki
Journal of Applied Probability 45 (1), 118-134, 2008
1042008
Back to basics: a new approach to the discrete dividend problem
EG Haug, J Haug, A Lewis
Wilmott magazine 9, 37-47, 2003
962003
Applications of eigenfunction expansions in continuous‐time finance
AL Lewis
Mathematical Finance 8 (4), 349-383, 1998
871998
Semivariance and the performance of portfolios with options
AL Lewis
Financial Analysts Journal 46 (4), 67-76, 1990
541990
A simple algorithm for the portfolio selection problem
AL Lewis
The Journal of Finance 43 (1), 71-82, 1988
391988
A simple option formula for general jump-diffusion and other exponential Lévy processes, 2001
A Lewis
URL https://EconPapers. repec. org/RePEc: vsv: svpubs: explevy, 0
26
Fear of jumps
A Lewis
Wilmott magazine 1, 60, 2002
252002
The mixing approach to stochastic volatility and jump models
A Lewis
Wilmott, 2002
222002
Option valuation under stochastic volatility, 2000
A Lewis
Finance Press: Newport Beach, 0
17
The Ibbotson-Sinquefield simulation made easy
AL Lewis, ST Kassouf, RD Brehm, J Johnston
Journal of Business, 205-214, 1980
161980
Asian connections
A Lewis
Algorithms, Wilmott Magazine, 57-63, 2002
122002
Exact solutions for a GBM-type stochastic volatility model having a stationary distribution
AL Lewis
arXiv preprint arXiv:1809.08635, 2018
102018
Modeling volatility and valuing derivatives under anchoring
P Wilmott, AL Lewis, DJ Duffy
Wilmott 2014 (73), 48-57, 2014
72014
Three expansion regimes for interest rate term structure models
A Lewis
Analytic Investment Management, 1994
71994
Option-based equity risk premiums
AL Lewis
arXiv preprint arXiv:1910.14522, 2019
52019
US equity risk premiums during the COVID-19 pandemic
AL Lewis
arXiv preprint arXiv:2004.13871, 2020
32020
A First Option Calibration of the GARCH Diffusion Model by a PDE Method
YA Papadopoulos, AL Lewis
arXiv preprint arXiv:1801.06141, 2018
22018
Proof of non-convergence of the short-maturity expansion for the SABR model
AL Lewis, D Pirjol
Quantitative Finance 22 (9), 1747-1757, 2022
12022
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Artículos 1–20