Narrow search
Showing 1 - 10 of 300
Cover Image
Indifference pricing and hedging for volatility dervivatives
Grasselli, M. R.; Hurd, T. R. - In: Applied mathematical finance 14 (2007) 4, pp. 303-317
Persistent link: https://www.econbiz.de/10003543040
Cover Image
Forward variance dynamics : Bergomi's model revisited
Aly, Sidi Mohamed Ould - In: Applied mathematical finance 21 (2014) 1/2, pp. 84-107
Persistent link: https://www.econbiz.de/10010351856
Cover Image
Saddlepoint approximation methods for pricing derivatives on discrete realized variance
Zheng, Wendong; Kwok, Yue-Kuen - In: Applied mathematical finance 21 (2014) 1/2, pp. 1-31
Persistent link: https://www.econbiz.de/10010351861
Cover Image
An extension of the chaos expansion approximation for the pricing of exotic basket options
Funahashi, Hideharu; Kijima, Masaaki - In: Applied mathematical finance 21 (2014) 1/2, pp. 109-139
Persistent link: https://www.econbiz.de/10010352010
Cover Image
Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
Cover Image
Volatility Index
Baldeaux, Jan; Badran, Alexander - In: Applied mathematical finance 21 (2014) 3/4, pp. 299-312
Persistent link: https://www.econbiz.de/10010499689
Cover Image
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Cover Image
Effect of volatility clustering on indifference pricing of options by convex risk measures
Kumar, Rohini - In: Applied mathematical finance 22 (2015) 1/2, pp. 63-82
Persistent link: https://www.econbiz.de/10010505169
Cover Image
Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
Cover Image
Asymptotic pricing of commodity derivatives using stochastic volatility spot models
Hikspoors, Samuel; Jaimungal, Sebastian - In: Applied mathematical finance 15 (2008) 5/6, pp. 449-477
Persistent link: https://www.econbiz.de/10003815252