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A new elementary geometric approach to option pricing bounds in discrete time models
Braouezec, Yann; Grunspan, Cyril - In: European journal of operational research : EJOR 249 (2016) 1, pp. 270-280
Persistent link: https://www.econbiz.de/10011435842
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Robust portfolio selection problem under temperature uncertainty
Gülpınar, Nalân; Çanakoḡlu, Ethem - In: European journal of operational research : EJOR 256 (2017) 2, pp. 500-523
Persistent link: https://www.econbiz.de/10011612035
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Trading VIX futures under mean reversion with regime switching
Li, Jiao - In: International journal of financial engineering 3 (2016) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
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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
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New results on high-order risk changes
Menegatti, Mario - In: European journal of operational research : EJOR 243 (2015) 2, pp. 678-681
Persistent link: https://www.econbiz.de/10010509993
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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
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Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo; Giribone, Pier Giuseppe; Ligato, Simone; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10011778279
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: European journal of operational research : EJOR 262 (2017) 1, pp. 381-400
Persistent link: https://www.econbiz.de/10011785790
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Analytical approximation for spread option pricing in local volatility model
Yang, Ying - In: International journal of financial engineering 4 (2017) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10011807086
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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096