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Justification of per-unit risk capital allocation in portfolio credit risk models
Dorfleitner, Gregor; Pfister, Tamara - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-29
Persistent link: https://www.econbiz.de/10010438509
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The stochastic intensity SSRD model implied volatility patterns for credit default swap options and the impact of correlation
Brigo, Damiano; Cousot, Laurent - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 315-339
Persistent link: https://www.econbiz.de/10003344290
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Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino; Lepellere, Maria Antonietta - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 533-553
Persistent link: https://www.econbiz.de/10003347387
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Utility indifference pricing of interest-rate guarantees
Benth, Fred Espen; Proske, Frank - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 63-82
Persistent link: https://www.econbiz.de/10003847563
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Sensitivity analysis and density estimation for the Hobson-Rogers stochastic volatility model
Kawai, Reiichiro - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 283-295
Persistent link: https://www.econbiz.de/10003867401
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New numerical scheme for pricing American option with regime-switching
Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340
Persistent link: https://www.econbiz.de/10003867406
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Convergence speed of GARCH option price to diffusion option price
Duan, Jin-Chuan; Wang, Yazhen; Zou, Jian - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 359-391
Persistent link: https://www.econbiz.de/10003867411
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The evaluation of American option prices under stochastic volatitlity and jump-diffusion dynamics using the method of lines
Chiarella, Carl; Kang, Boda; Meyer, Gunter H.; Ziogas, … - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 393-425
Persistent link: https://www.econbiz.de/10003867417
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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
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Pricing securities with exchange-imposed price limits via risk neutral valuation
Harel, Arie; Harpaz, Giora; Francis, Jack Clark - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 399-406
Persistent link: https://www.econbiz.de/10003463418