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Author ID: rayee.gregory Recent zbMATH articles by "Rayée, Grégory"
Published as: Rayée, Grégory
Documents Indexed: 5 Publications since 2010
Co-Authors: 6 Co-Authors with 5 Joint Publications
123 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

5 Publications have been cited 20 times in 20 Documents Cited by Year
Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158
Deelstra, Griselda; Rayée, Grégory
8
2013
Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory
6
2017
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283
Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda
2
2010
Smiles & smirks: volatility and leverage by jumps. Zbl 07478874
Ballotta, Laura; Rayée, Grégory
1
2022
Smiles & smirks: volatility and leverage by jumps. Zbl 07478874
Ballotta, Laura; Rayée, Grégory
1
2022
Multivariate FX models with jumps: triangles, quantos and implied correlation. Zbl 1403.91329
Ballotta, Laura; Deelstra, Griselda; Rayée, Grégory
6
2017
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets. Zbl 1290.91159
Deelstra, Griselda; Rayée, Grégory; Vanduffel, Steven; Yao, Jing
3
2014
Pricing variable annuity guarantees in a local volatility framework. Zbl 1290.91158
Deelstra, Griselda; Rayée, Grégory
8
2013
Vanna-Volga methods applied to FX derivatives: from theory to market practice. Zbl 1203.91283
Bossens, Frédéric; Rayée, Grégory; Skantzos, Nikos S.; Deelstra, Griselda
2
2010

Citations by Year