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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Pricing exotic derivatives exploiting structure
Sesana, Debora; Marazzina, Daniele; Fusai, Gianluca - In: European journal of operational research : EJOR 236 (2014) 1, pp. 369-381
Persistent link: https://www.econbiz.de/10010361703
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A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
Elias, R. S.; Wahab, M. I. M.; Fang, Liping - In: European journal of operational research : EJOR 232 (2014) 3, pp. 549-560
Persistent link: https://www.econbiz.de/10010224963
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Portfolio optimization in a regime-switching market with derivatives
Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European journal of operational research : EJOR 233 (2014) 1, pp. 184-192
Persistent link: https://www.econbiz.de/10010225264
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Optimal hedging when the underlying asset follows a regime-switching Markov process
François, Pascal; Gauthier, Geneviève; Godin, Frédéric - In: European journal of operational research : EJOR 237 (2014) 1, pp. 312-322
Persistent link: https://www.econbiz.de/10010378599
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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
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New results on high-order risk changes
Menegatti, Mario - In: European journal of operational research : EJOR 243 (2015) 2, pp. 678-681
Persistent link: https://www.econbiz.de/10010509993
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Robust option pricing
Bandi, Chaithanya; Bertsimas, Dimitris - In: European journal of operational research : EJOR 239 (2014) 3, pp. 842-853
Persistent link: https://www.econbiz.de/10010411468