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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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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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Approximation for convenience yield with mean-reverting commodity price
Zhao, Qiang; Gu, Guiding - In: Journal of mathematical finance 5 (2015) 3, pp. 233-242
Persistent link: https://www.econbiz.de/10011438485
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Valuation of game option bonds under the generalized Ho-Lee model : a stochastic game approach
Ochiai, Natsumi; Ohnishi, Masamitsu - In: Journal of mathematical finance 5 (2015) 4, pp. 412-422
Persistent link: https://www.econbiz.de/10011439173
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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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Equilibrium equity premium in a semi martingale market when jump amplitudes follow a binomial distribution
Mukupa, George M.; Offen, Elias R. - In: Journal of mathematical finance 8 (2018) 3, pp. 599-612
Persistent link: https://www.econbiz.de/10011968727
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Nonparametric model calibration for derivatives
Abergel, Frédéric; Tachet des Combes, Rémy; Zaatour, … - In: Journal of mathematical finance 7 (2017) 3, pp. 571-596
Persistent link: https://www.econbiz.de/10011752333
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Theories on the relationship between price process and stochastic volatility matrix with compensated poisson jump using fourier transforms
Andam, Perpetual Saah; Ackora-Prah, Joseph; … - In: Journal of mathematical finance 7 (2017) 3, pp. 633-656
Persistent link: https://www.econbiz.de/10011752419