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Conditional law of the hitting time for a Lévy process in incomplete observation
Ngom, Waly - In: Journal of mathematical finance 5 (2015) 5, pp. 505-524
Persistent link: https://www.econbiz.de/10011440708
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Uncertain volatility derivative model based on the polynomial chaos
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 55-63
Persistent link: https://www.econbiz.de/10011543102
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Multivariate stochastic volatility estimation with sparse grid integration
Esen, Halil Erturk - In: Journal of mathematical finance 6 (2016) 1, pp. 68-81
Persistent link: https://www.econbiz.de/10011543122
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A comparative study of equilibrium equity premium under discrete distributions of jump amplitudes
Mukupa, George M.; Offen, Elias R.; Kunda, Douglas; … - In: Journal of mathematical finance 6 (2016) 1, pp. 232-246
Persistent link: https://www.econbiz.de/10011543918
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Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
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A linear regression approach for determining explicit expressions for option prices for equity option pricing models with dependent volatility and return processes
Jagannathan, Raj - In: Journal of mathematical finance 6 (2016) 2, pp. 303-323
Persistent link: https://www.econbiz.de/10011544516
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An analytic formula for pricing American-style convertible bonds in a regime switching model
Chan, Leunglung; Zhu, Song-Ping - In: IMA journal of management mathematics 26 (2015) 4, pp. 402-428
Persistent link: https://www.econbiz.de/10011515674
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On the stochastic dominance of portfolio insurance strategies
Maalej, Hela; Prigent, Jean-Luc - In: Journal of mathematical finance 6 (2016) 1, pp. 14-27
Persistent link: https://www.econbiz.de/10011542992
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Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
He, Xin-Jiang; Chen, Wenting - In: IMA journal of management mathematics 33 (2022) 2, pp. 255-272
Persistent link: https://www.econbiz.de/10012798778
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Dynamic hedging in incomplete markets using risk measures
Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10012798787