Access Statistics for Grégory Rayée

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Local Volatility Pricing Models for Long-dated FX Derivatives 0 0 3 25 0 0 16 123
Pricing Variable Annuity Guarantees in a Local Volatility framework 0 1 1 17 0 1 4 63
Quanto Implied Correlation in a Multi-Lévy Framework 0 0 0 5 1 1 7 40
Vanna-Volga methods applied to FX derivatives: from theory to market practice 0 0 1 91 2 2 11 207
Total Working Papers 0 1 5 138 3 4 38 433


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Local Volatility Pricing Models for Long-Dated FX Derivatives 0 0 0 13 0 1 6 80
Multivariate FX models with jumps: Triangles, Quantos and implied correlation 0 0 0 3 1 1 30 54
Pricing Variable Annuity Guarantees in a local volatility framework 0 0 1 6 0 1 5 35
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 0 0 4 13
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE 0 1 1 2 2 4 8 26
Total Journal Articles 0 1 2 25 3 7 53 208


Statistics updated 2021-01-03