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Optimal liquidation under stochastic price impact
Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012012935
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino; Lepellere, Maria Antonietta - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 533-553
Persistent link: https://www.econbiz.de/10003347387
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Utility indifference pricing of interest-rate guarantees
Benth, Fred Espen; Proske, Frank - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 63-82
Persistent link: https://www.econbiz.de/10003847563
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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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Simultaneous calibration to a range of portfolio credit derivatives with a dynamic discrete-time multi-step Markov loss model
Walker, Michael B. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 633-662
Persistent link: https://www.econbiz.de/10003899505
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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
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Convergence speed of GARCH option price to diffusion option price
Duan, Jin-Chuan; Wang, Yazhen; Zou, Jian - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 359-391
Persistent link: https://www.econbiz.de/10003867411
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The evaluation of American option prices under stochastic volatitlity and jump-diffusion dynamics using the method of lines
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 393-425
Persistent link: https://www.econbiz.de/10003867417