Narrow search
Showing 1 - 10 of 414
Cover Image
Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes
Cui, Zhenyu; Lee, Chihoon; Liu, Yanchu - In: European journal of operational research : EJOR 266 (2018) 3, pp. 1134-1139
Persistent link: https://www.econbiz.de/10011812242
Cover Image
An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
Cover Image
Option valuation under no-arbitrage constraints with neural networks
Cao, Yi; Liu, Xiaoquan; Zhai, Jia - In: European journal of operational research : EJOR 293 (2021) 1, pp. 361-374
Persistent link: https://www.econbiz.de/10012502485
Cover Image
VIX derivatives, hedging and vol-of-vol risk
Kaeck, Andreas; Seeger, Norman - In: European journal of operational research : EJOR 283 (2020) 2, pp. 767-782
Persistent link: https://www.econbiz.de/10012294919
Cover Image
Pricing and hedging in incomplete markets with model uncertainty
Balter, Anne G.; Pelsser, Antoon André Jean - In: European journal of operational research : EJOR 282 (2020) 3, pp. 911-925
Persistent link: https://www.econbiz.de/10012161810
Cover Image
Indifference pricing of insurance-linked securities in a multi-period model
Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: European journal of operational research : EJOR 289 (2021) 2, pp. 793-805
Persistent link: https://www.econbiz.de/10012416884
Cover Image
Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
Cover Image
Third-order extensions of Lo's semiparametric bound for European call options
Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570
Persistent link: https://www.econbiz.de/10003852612
Cover Image
The pricing and optimal strategies of callable warrants
Yagi, Kyoko; Sawaki, Katsushige - In: European journal of operational research : EJOR 206 (2010) 1, pp. 123-130
Persistent link: https://www.econbiz.de/10003968462
Cover Image
A simple model of deferred callability in defaultable debt
Mjøs, Aksel; Persson, Svein-Arne - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1350-1357
Persistent link: https://www.econbiz.de/10008702254