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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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Another look at the integral of exponential Brownian motion and the pricing of Asian options
Lyasoff, Andrew - In: Finance and stochastics 20 (2016) 4, pp. 1061-1096
Persistent link: https://www.econbiz.de/10011570364
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Multilevel Monte Carlo for exponential Lévy models
Giles, Michael B.; Xia, Yuan - In: Finance and stochastics 21 (2017) 4, pp. 995-1026
Persistent link: https://www.econbiz.de/10011944462
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Regime switching affine processes with applications to finance
Beek, Misha van; Mandjes, Michel; Spreij, Peter; … - In: Finance and stochastics 24 (2020) 2, pp. 309-333
Persistent link: https://www.econbiz.de/10012253354
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Asymptotic behaviour of mean-quantile efficient portfolios
Dmitrašinović-Vidović, Gordana; Ware, Antony - In: Finance and stochastics 10 (2006) 4, pp. 529-551
Persistent link: https://www.econbiz.de/10003405648
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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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Bounds for functions of dependent risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
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Risk measures for processes and BSDEs
Penner, Irina; Réveillac, Anthony - In: Finance and stochastics 19 (2015) 1, pp. 23-66
Persistent link: https://www.econbiz.de/10011417006
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503