Quanto Option Pricing on a Multivariate Levy Process Model with a Generative Artificial Intelligence
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- Young Kim & Jeong Lee, 2007. "The relative entropy in CGMY processes and its applications to finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 66(2), pages 327-338, October.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Naaman, Michael, 2021. "On the tight constant in the multivariate Dvoretzky–Kiefer–Wolfowitz inequality," Statistics & Probability Letters, Elsevier, vol. 173(C).
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
- Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
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This paper has been announced in the following NEP Reports:- NEP-AIN-2024-04-08 (Artificial Intelligence)
- NEP-CMP-2024-04-08 (Computational Economics)
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