Narrow search
Showing 1 - 10 of 12
Cover Image
Calibration risk : illustrating the impact of calibration risk under the Heston model
Guillaume, Florence; Schoutens, Wim - In: Review of derivatives research 15 (2012) 1, pp. 57-79
Persistent link: https://www.econbiz.de/10009627433
Cover Image
Single name credit default swaptions meet single sided jump models
Jönsson, Henrik; Schoutens, Wim - In: Review of derivatives research 11 (2008) 1/2, pp. 153-169
Persistent link: https://www.econbiz.de/10003829573
Cover Image
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
Cover Image
Pricing vulnerable options with jump risk and liquidity risk
Wang, Xingchun - In: Review of derivatives research 24 (2021) 3, pp. 243-260
Persistent link: https://www.econbiz.de/10012659671
Cover Image
Valuing fade-in options with default risk in Heston-Nandi GARCH models
Wang, Xingchun - In: Review of derivatives research 25 (2022) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10013191374
Cover Image
The [beta]-variance gamma model
Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
Cover Image
Valuing vulnerable options with bond collateral
Wang, Guanying; Wang, Xingchun - In: Applied economics letters 28 (2021) 2, pp. 115-118
Persistent link: https://www.econbiz.de/10012415094
Cover Image
Pricing vulnerable options in a hybrid credit risk model driven by Heston-Nandi GARCH processes
Liang, Gechun; Wang, Xingchun - In: Review of derivatives research 24 (2021) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012498465
Cover Image
Valuing vulnerable options with two underlying assets
Wang, Xingchun - In: Applied economics letters 27 (2020) 21, pp. 1699-1706
Persistent link: https://www.econbiz.de/10012315771
Cover Image
Pricing options on the maximum of two average prices under stochastic volatility models
Wang, Xingchun - In: Applied economics letters 29 (2022) 10, pp. 887-894
Persistent link: https://www.econbiz.de/10013411818