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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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The valuation of options on discrete dividend-paying stocks
Shan, Yuanchuang; Shu, Huisheng; Zhang, Xuekang; Yi, Haoran - In: Applied economics letters 31 (2024) 12, pp. 1090-1095
Persistent link: https://www.econbiz.de/10014558681
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Lookback options and dynamic fund protection under multiscale stochastic volatility
Wong, Hoi Ying; Chan, Chun Man - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 357-385
Persistent link: https://www.econbiz.de/10003755752
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The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
Kleinow, Torsten; Willder, Mark - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 445-458
Persistent link: https://www.econbiz.de/10003755768
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Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
Frostig, Esther; Zaks, Yaniv; Levikson, Benny - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 459-467
Persistent link: https://www.econbiz.de/10003755773
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Empirical pricing kernels obtained from the UK index options market
Liu, Xiaoquan; Shackleton, Mark B.; Taylor, Stephen; … - In: Applied economics letters 16 (2009) 10/12, pp. 989-993
Persistent link: https://www.econbiz.de/10003886597
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Calculating implied volatility using the bisection algorithm : a note
Berry, R. H.; Zuo, X. - In: Applied economics letters 16 (2009) 13/15, pp. 1399-1402
Persistent link: https://www.econbiz.de/10003894265
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Accurate approximation formulas for stock options with discrete dividends
Dai, Tian-Shyr; Lyuu, Yuh-dauh - In: Applied economics letters 16 (2009) 16/18, pp. 1657-1663
Persistent link: https://www.econbiz.de/10003932250
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A note on applying option pricing theory to emerging mortgage and mortgage-backed securities markets
Fei, Peng - In: Applied economics letters 17 (2010) 7/9, pp. 881-885
Persistent link: https://www.econbiz.de/10003996975
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Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
Xu, Guoping; Zheng, Harry - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 415-422
Persistent link: https://www.econbiz.de/10008746991