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On portfolio selection under extreme risk measure : the heavy-tailed ICA model
Clémençon, Stéphan; Slim, Skander - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 449-474
Persistent link: https://www.econbiz.de/10003463451
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Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach
Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10002625103
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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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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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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 and Deltas of discretely-monitored barrier options using stratified sampling on the hitting-times to the barrier
Joshi, Mark S.; Tang, Robert - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 717-750
Persistent link: https://www.econbiz.de/10008904339
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Better confidence intervals for importance sampling
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1279-1291
Persistent link: https://www.econbiz.de/10008906160
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A hybrid asymptotic expansion scheme : an application to long-term currency options
Takahashi, Akihiko; Takehara, Kohta - In: International journal of theoretical and applied finance 13 (2010) 8, pp. 1179-1221
Persistent link: https://www.econbiz.de/10008906179
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A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Benth, Fred Espen; Groth, Martin; Kettler, Paul C. - In: International journal of theoretical and applied finance 9 (2006) 6, pp. 843-867
Persistent link: https://www.econbiz.de/10003380284
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Convenient multiple directions of stratification
Jourdain, Benjamin; Lapeyre, Bernard; Sabino, Piergiacomo - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 867-897
Persistent link: https://www.econbiz.de/10009380998