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Option pricing theory
139
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Pelsser, Antoon André Jean
5
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5
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4
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4
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3
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Insurance / Mathematics & economics
Journal of banking & finance
643
NBER working paper series
565
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549
International journal of theoretical and applied finance
510
The journal of corporate finance : contracting, governance and organization
489
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460
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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257
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199
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197
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181
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180
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175
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The North American journal of economics and finance : a journal of financial economics studies
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Applied financial economics
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Small business economics : an entrepreneurship journal
134
Research in international business and finance
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ECONIS (ZBW)
144
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1
Valuation of contingent convertible catastrophe bonds : the case for equity conversion
Burnecki, Krzysztof
;
Giuricich, Mario Nicoló
; …
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 238-254
Persistent link: https://www.econbiz.de/10012105571
Saved in:
2
Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun
;
Song, Renming
;
Tang, DanLing
;
Wang, Yongjin
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
2
,
pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
Saved in:
3
Designing and pricing guarantee options in defined contribution pension plans
Consiglio, Andrea
;
Tumminello, Michele
;
Zenios, Stauros …
- In:
Insurance / Mathematics & economics
65
(
2015
),
pp. 267-279
Persistent link: https://www.econbiz.de/10011428673
Saved in:
4
Control variates and conditional Monte Carlo for basket and Asian options
Dingeç, Kemal Dinçer
;
Hörmann, Wolfgang
- In:
Insurance / Mathematics & economics
52
(
2013
)
3
,
pp. 421-434
Persistent link: https://www.econbiz.de/10009763657
Saved in:
5
Valuing equity-linked death benefits in jump diffusion models
Gerber, Hans U.
;
Shiu, Elias S. W.
;
Yang, Hailiang
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 615-623
Persistent link: https://www.econbiz.de/10010227922
Saved in:
6
Pricing and hedging basket options with exact moment matching
Leccadito, Arturo
;
Paletta, Tommaso
;
Tunaru, Radu
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 59-69
Persistent link: https://www.econbiz.de/10011530924
Saved in:
7
Analytical pricing of vulnerable options under a generalized jump-diffusion model
Fard, Farzad Alavi
- In:
Insurance / Mathematics & economics
60
(
2015
),
pp. 19-28
Persistent link: https://www.econbiz.de/10010484842
Saved in:
8
A capital allocation based on a solvency exchange option
Kim, Joseph H. T.
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
44
(
2009
)
3
,
pp. 357-366
Persistent link: https://www.econbiz.de/10009517628
Saved in:
9
Pricing perpetual American catastrophe put options : a penalty function approach
Lin, X. Sheldon
;
Wang, Tao
- In:
Insurance / Mathematics & economics
44
(
2009
)
2
,
pp. 287-295
Persistent link: https://www.econbiz.de/10009517636
Saved in:
10
Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard
;
Pelsser, Antoon André Jean
- In:
Insurance / Mathematics & economics
44
(
2009
)
1
,
pp. 124-134
Persistent link: https://www.econbiz.de/10009517653
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