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A risk-neutral stochastic volatility model
Zhu, Yingzi - In: International journal of theoretical and applied finance 1 (1998) 2, pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
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The valuation of self-funding instalment warrants
Dewynne, Jeff N.; Hassan, Nadima el - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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Monte Carlo evaluation of American options using consumption processes
Belomestny, Denis; Milʹstejn, Grigorij N. - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 455-481
Persistent link: https://www.econbiz.de/10003347377
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245
Persistent link: https://www.econbiz.de/10009242522
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Optimal superhedging under non-convex constraints : a BSDE approach
Bender, Christian; Kohlmann, Michael - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 363-380
Persistent link: https://www.econbiz.de/10003746670
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A new Monte Carlo method for American options
Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
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On the profit and loss distribution of dynamic hedging strategies
Esipov, Sergej; Vajsburd, Igor - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10001394239
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A Gaussian approximation scheme for computation of option prices in stochastic volatility models
Cheng, Ai-ru Meg; Gallant, A. Ronald; Ji, Chuanshu; … - In: Journal of econometrics 146 (2008) 1, pp. 44-58
Persistent link: https://www.econbiz.de/10003778206
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Empirical exercise behavior of warrant holders and its consequences for warrant values
Koziol, Christian - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 245-268
Persistent link: https://www.econbiz.de/10003312734
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Pricing path-dependent options on state dependent volatility models with a Bessel bridge
Campolieti, Giuseppe; Makarov, Roman - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 51-88
Persistent link: https://www.econbiz.de/10003415659