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On volatility smile and an investment strategy with out-of-the-money calls
Talponen, Jarno - In: Mathematics and financial economics 10 (2016) 2, pp. 113-125
Persistent link: https://www.econbiz.de/10011485897
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On securitization, market completion and equilibrium risk transfer
Horst, Ulrich; Pirvu, Traian A.; Dos Reis, Gonc̜alo - In: Mathematics and financial economics 2 (2010) 4, pp. 211-252
Persistent link: https://www.econbiz.de/10003949928
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Asymptotic power utility-based pricing and hedging
Kallsen, Jan; Muhle-Karbe, Johannes; Vierthauer, Richard - In: Mathematics and financial economics 8 (2014) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10010235420
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The super-replication theorem under proportional transaction costs revisited
Schachermayer, Walter - In: Mathematics and financial economics 8 (2014) 4, pp. 383-398
Persistent link: https://www.econbiz.de/10010490973
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Pricing black-scholes options with correlated credit risk and jump risk
Xu, Weidong; Xu, Weijun; Xiao, Weilin - In: Applied economics letters 22 (2015) 1/3, pp. 87-93
Persistent link: https://www.econbiz.de/10010482058
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Equilibrium pricing bounds on option prices
Chazal, Marie; Jouini, Elyès - In: Mathematics and financial economics 1 (2008) 3/4, pp. 251-281
Persistent link: https://www.econbiz.de/10003722530
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Default probability anomalies in the momentum startegies
Lee, Nicholas Rueilin; Liu, Jung-Fang; Lin, Wei-Yu - In: Applied economics letters 21 (2014) 16/18, pp. 1206-1209
Persistent link: https://www.econbiz.de/10010465679
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Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives
Chen, A.-S.; Shen, P.-F. - In: Applied economics letters 10 (2003) 4, pp. 223-229
Persistent link: https://www.econbiz.de/10001748973
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Pricing European basket warrants with default risk under stochastic volatility models
Wang, Xingchun - In: Applied economics letters 29 (2022) 3, pp. 253-260
Persistent link: https://www.econbiz.de/10012803500