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The effects of abandonment options on operating leverage and investment timing
Kit, Pong Wong - In: International review of economics & finance : IREF 18 (2009) 1, pp. 162-171
Persistent link: https://www.econbiz.de/10003793749
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Strategic use of futures and options by commodity processors
Bullock, David W.; Wilson, William W.; Dahl, Bruce L. - In: International review of economics & finance : IREF 16 (2007) 4, pp. 578-591
Persistent link: https://www.econbiz.de/10003613198
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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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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
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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
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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
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Production and futures hedging with state-dependent background risk
Kit, Pong Wong - In: International review of economics & finance : IREF 24 (2012), pp. 177-184
Persistent link: https://www.econbiz.de/10009690210
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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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Survey sentiment and interest rate option smile
Chen, Cathy Yi-Hsuan; Kuo, I.-doun - In: International review of economics & finance : IREF 37 (2015), pp. 125-137
Persistent link: https://www.econbiz.de/10011538263
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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