Rayée Grégory
Rayée Grégory
Verified email at ulb.ac.be
Title
Cited by
Cited by
Year
Vanna-Volga methods applied to FX derivatives: from theory to market practice
F Bossens, G Rayée, NS Skantzos, G Deelstra
International Journal of Theoretical and Applied Finance 13 (08), 1293-1324, 2010
322010
Local Volatility Pricing Models for Long-Dated FX Derivatives
G Deelstra, G Rayée
Taylor & Francis, 2012
312012
Multivariate FX models with jumps: triangles, quantos and implied correlation
L Ballotta, G Deelstra, G Rayée
European Journal of Operational Research 260 (3), 1181-1199, 2017
212017
Pricing variable annuity guarantees in a local volatility framework
G Deelstra, G Rayée
Insurance: Mathematics and Economics 53 (3), 650-663, 2013
152013
Quanto implied correlation in a multi-Lévy framework
L Ballotta, G Deelstra, G Rayée
SSRN, 2015
72015
Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
G Deelstra, G Rayée, S Vanduffel, J Yao
ASTIN Bulletin: The Journal of the IAA 44 (2), 237-276, 2014
62014
Smiles & Smirks: a tale of factors
L Ballotta, G Rayée
Available at SSRN 2980349, 2018
52018
Essays on Pricing Derivatives by taking into account volatility and interest rates risks
G Rayée
Vrije Universiteit Brussel, 2012
12012
Smiles & Smirks: Volatility and leverage by jumps
L Ballotta, G Rayée
European Journal of Operational Research, 2021
2021
Pricing Variable Annuity Guarantees in a Local Volatility Framework
G Rayée, G Deelstra
Available at SSRN 2033670, 2012
2012
Local Volatility Pricing Models for Long-Dated FX Derivatives. Working paper, Université Libre de Bruxelles
G Deelstra, G Rayée
2010
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Articles 1–11