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Asymptotic normality for EMS option price estimator with continuous or discontinuous payoff functions
Yuan, Zhushun; Chen, Gemai - In: Management science : journal of the Institute for … 55 (2009) 8, pp. 1438-1450
Persistent link: https://www.econbiz.de/10003885452
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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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Valuing modularity as a real option
Gamba, Andrea; Fusari, Nicola - In: Management science : journal of the Institute for … 55 (2009) 11, pp. 1877-1896
Persistent link: https://www.econbiz.de/10003909226
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Dirichlet bridge sampling for the variance gamma process : pricing path-dependent options
Kaishev, Vladimir K.; Dimitrova, Dimitrina S. - In: Management science : journal of the Institute for … 55 (2009) 3, pp. 483-496
Persistent link: https://www.econbiz.de/10003876494
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Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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Monte Carlo bounds for game options including convertible bonds
Beveridge, Christopher; Joshi, Mark S. - In: Management science : journal of the Institute for … 57 (2011) 5, pp. 960-974
Persistent link: https://www.econbiz.de/10009153860
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Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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Pricing kernels with stochastic skewness and volatility risk
Chabi-yo, Fousseni - In: Management science : journal of the Institute for … 58 (2012) 3, pp. 624-640
Persistent link: https://www.econbiz.de/10009525254
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Market timing with option-implied distributions : a forward-looking approach
Kostakis, Alexandros; Panigirtzoglou, Nikolaos; … - In: Management science : journal of the Institute for … 57 (2011) 7, pp. 1231-1249
Persistent link: https://www.econbiz.de/10009267624
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Pricing credit default swaps with a random recovery rate by a double inverse Fourier transform
Hao, Xuemiao; Li, Xuan - In: Insurance / Mathematics & economics 65 (2015), pp. 103-110
Persistent link: https://www.econbiz.de/10011422882