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Valuation of vulnerable American options with correlated credit risk
Chang, Lung-fu; Hung, Mao-Wei - In: Review of derivatives research 9 (2006) 2, pp. 137-165
Persistent link: https://www.econbiz.de/10003608132
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The valuation of a firm's investment opportunities : a reduced form credit risk perspective
Jarrow, Robert A.; Purnanandam, Amiyatosh - In: Review of derivatives research 10 (2007) 1, pp. 39-58
Persistent link: https://www.econbiz.de/10003705843
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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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The performance of model based option trading strategies
Eraker, Bjørn - In: Review of derivatives research 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009729949
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A call on art investments
Kräussl, Roman; Wiehenkamp, Christian - In: Review of derivatives research 15 (2012) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009627444
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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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Tractable hedging with additional hedge instruments
Branger, Nicole; Mahayni, Antje - In: Review of derivatives research 14 (2011) 1, pp. 85-114
Persistent link: https://www.econbiz.de/10009272489
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On improving the least squares Monte Carlo option valuation method
Areal, Nelson; Rodrigues, Artur; Rocha Armada, Manuel da - In: Review of derivatives research 11 (2008) 1/2, pp. 119-151
Persistent link: https://www.econbiz.de/10003829564
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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
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Pricing anomaly at the first sight : same borrower in different currencies faces different credit spreads : an explanation by means of a quanto option
Rathgeber, Andreas W.; Rudolph, David; Stöckl, Stefan - In: Review of derivatives research 18 (2015) 2, pp. 107-143
Persistent link: https://www.econbiz.de/10011477291