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Analysing bank-issued option pricing
Abad Díaz, David; Nieto Domenech, Belen - In: The European journal of finance 17 (2011) 1/2, pp. 49-65
Persistent link: https://www.econbiz.de/10009155464
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Multivariate digital options with memory
Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
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A generalized approach to optimal hedging with option contracts
Bajo, Emanuele; Barbi, Massimiliano; Romagnoli, Silvia - In: The European journal of finance 21 (2015) 7/9, pp. 714-733
Persistent link: https://www.econbiz.de/10011302047
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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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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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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
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Pricings and hedgings of the perpetual Russian options
Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010508090