Narrow search
Showing 1 - 10 of 48
Cover Image
An equilibrium pricing model for weather derivatives in a multi-commodity setting
Lee, Yongheon; Oren, Shmuel S. - In: Energy economics 31 (2009) 5, pp. 702-712
Persistent link: https://www.econbiz.de/10003880188
Cover Image
Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
Cover Image
Optimal derivative liquidation timing under path-dependent risk penalties
Leung, Tim; Shirai, Yoshihiro - In: Journal of financial engineering 2 (2015) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10010528389
Cover Image
Pricing interest rate derivatives with model risk
Hosokawa, Satoshi; Matsumoto, Koichi - In: Journal of financial engineering 2 (2015) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010528390
Cover Image
Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
Cover Image
Downside risk and the energy hedger's horizon
Conlon, Thomas; Cotter, John - In: Energy economics 36 (2013), pp. 371-379
Persistent link: https://www.econbiz.de/10009724683
Cover Image
A sharp approximation for ATM-forward option prices and implied volatilites
Stefanica, Dan; Radoičić, Radoš - In: International journal of financial engineering 3 (2016) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10011532749
Cover Image
An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
Cover Image
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Cover Image
On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185
Persistent link: https://www.econbiz.de/10010504771