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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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Valuation of performance-dependent options
Gerstner, Thomas Stefan; Holtz, Markus - In: Applied mathematical finance 15 (2008) 1/2, pp. 1-20
Persistent link: https://www.econbiz.de/10003751107
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Valuation, tax shields and the cost-of-capital with personal taxes : a framework for incorporate taxes
Schultze, Wolfgang - In: International journal of theoretical and applied finance 7 (2004) 6, pp. 769-804
Persistent link: https://www.econbiz.de/10002200708
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The conglomerate discount : a new explanation based on credit risk
Ammann, Manuel; Verhofen, Michael - In: International journal of theoretical and applied finance 9 (2006) 8, pp. 1201-1214
Persistent link: https://www.econbiz.de/10003397165
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A valuation model for firms with stochastic earnings
Li, Steven - In: Applied mathematical finance 10 (2003) 3, pp. 229-243
Persistent link: https://www.econbiz.de/10001841302
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A control variate method for Monte Carlo simulations of Heath-Jarrow-Morton models with jumps
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: Applied mathematical finance 14 (2007) 5, pp. 365-399
Persistent link: https://www.econbiz.de/10003637449
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An improved binomial lattice method for multi-dimensional options
Gamba, Andrea; Trigeorgis, Lenos - In: Applied mathematical finance 14 (2007) 5, pp. 453-475
Persistent link: https://www.econbiz.de/10003637477
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A fast, stable and accurate numerical method for the black-scholes equation of American options
Ehrhardt, Matthias; Mickens, Ronald Elbert - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 471-501
Persistent link: https://www.econbiz.de/10003759938
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Storage options valuation using multilevel trees and calendar spreads
Manoliu, Mihaela - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 425-464
Persistent link: https://www.econbiz.de/10002108799
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Pricing of the American put under Lévy processes
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 7 (2004) 3, pp. 303-335
Persistent link: https://www.econbiz.de/10002111463