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Option pricing under a Gamma-modulated diffusion process
Iglesias, Pilar; San Martín, Jaime; Torres, Soledad; … - In: Annals of finance 7 (2011) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10009130245
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Valuation of R&D compound option using Markov chain approach
D'Amico, Guglielmo; Villani, Giovanni - In: Annals of finance 17 (2021) 3, pp. 379-404
Persistent link: https://www.econbiz.de/10012622325
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Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo; D'Addona, Stefano - In: Annals of finance 19 (2023) 4, pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
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A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.; Siu, Tak Kuen; Chan, Leunglung - In: Annals of finance 4 (2008) 1, pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
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Dynamic optimal capital structure with regime switching
Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220
Persistent link: https://www.econbiz.de/10011376180
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Bounds for path-dependent options
Brown, Donald J.; Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 11 (2015) 3/4, pp. 433-451
Persistent link: https://www.econbiz.de/10011459441
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The pricing kernel puzzle : survey and outlook
Cuesdeanu, Horatio; Jackwerth, Jens Carsten - In: Annals of finance 14 (2018) 3, pp. 289-329
Persistent link: https://www.econbiz.de/10012019345
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Saddlepoint approximations to option price in a regime-switching model
Zhang, Mengzhe; Chan, Leunglung - In: Annals of finance 12 (2016) 1, pp. 55-69
Persistent link: https://www.econbiz.de/10011555421
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Risk premia in option markets
Madan, Dilip B. - In: Annals of finance 12 (2016) 1, pp. 71-94
Persistent link: https://www.econbiz.de/10011555434
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Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?
Grabchak, Michael - In: Annals of finance 10 (2014) 4, pp. 553-568
Persistent link: https://www.econbiz.de/10010463508