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Computation of Greeks using binomial trees in a jump-diffusion model
Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110
Persistent link: https://www.econbiz.de/10011474273
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It only takes a few moments to hedge options
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
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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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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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Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo; Giribone, Pier Giuseppe; Ligato, Simone; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10011778279
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Analytical approximation for spread option pricing in local volatility model
Yang, Ying - In: International journal of financial engineering 4 (2017) 4, pp. 1-17
Persistent link: https://www.econbiz.de/10011807086
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Mean-variance hedging with model risk
Matsumoto, Koichi - In: International journal of financial engineering 4 (2017) 4, pp. 1-23
Persistent link: https://www.econbiz.de/10011807096