Grégory Rayée
Names
| first: |
Grégory |
| last: |
Rayée |
Identifer
Contact
Affiliations
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Université Libre de Bruxelles
/ Solvay Brussels School of Economics and Management
/ European Centre for Advanced Research in Economics and Statistics (ECARES)
Research profile
author of:
- Vanna-Volga methods applied to FX derivatives : from theory to market practice (RePEc:arx:papers:0904.1074)
by Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra - Pricing Variable Annuity Guarantees in a Local Volatility framework (RePEc:arx:papers:1204.0453)
by Griselda Deelstra & Gr'egory Ray'ee - Local Volatility Pricing Models for Long-dated FX Derivatives (RePEc:arx:papers:1204.0633)
by Griselda Deelstra & Gr'egory Ray'ee - Using Model-Independent Lower Bounds To Improve Pricing Of Asian Style Options In Lã‰Vy Markets (RePEc:cup:astinb:v:44:y:2014:i:02:p:237-276_00)
by Deelstra, Griselda & Rayée, Grégory & Vanduffel, Steven & Yao, Jing - Quanto Implied Correlation in a Multi-Lévy Framework (RePEc:eca:wpaper:2013/219174)
by Laura Ballota & Griselda Deelstra & Grégory Rayée - Multivariate FX models with jumps: Triangles, Quantos and implied correlation (RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199)
by Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory - Pricing Variable Annuity Guarantees in a local volatility framework (RePEc:eee:insuma:v:53:y:2013:i:3:p:650-663)
by Deelstra, Griselda & Rayée, Grégory - Local Volatility Pricing Models for Long-Dated FX Derivatives (RePEc:taf:apmtfi:v:20:y:2013:i:4:p:380-402)
by Griselda Deelstra & Gr�gory Ray�e - Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice (RePEc:wsi:ijtafx:v:13:y:2010:i:08:n:s0219024910006212)
by Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra