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 0 25 1 2 5 134
Pricing Variable Annuity Guarantees in a Local Volatility framework 0 0 0 17 0 0 0 65
Quanto Implied Correlation in a Multi-Lévy Framework 0 0 0 5 1 1 1 43
Vanna-Volga methods applied to FX derivatives: from theory to market practice 1 2 7 101 3 10 34 259
Total Working Papers 1 2 7 148 5 13 40 501


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 0 1 82
Multivariate FX models with jumps: Triangles, Quantos and implied correlation 0 0 1 4 0 0 4 66
Pricing Variable Annuity Guarantees in a local volatility framework 0 1 1 8 0 1 2 43
USING MODEL-INDEPENDENT LOWER BOUNDS TO IMPROVE PRICING OF ASIAN STYLE OPTIONS IN LÉVY MARKETS 0 0 0 1 0 0 0 13
VANNA-VOLGA METHODS APPLIED TO FX DERIVATIVES: FROM THEORY TO MARKET PRACTICE 0 0 1 6 1 3 12 59
Total Journal Articles 0 1 3 32 1 4 19 263


Statistics updated 2022-11-05