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Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.; Siu, Tak Kuen - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique; Leniec, Marta - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
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The compatible bond-stock market with jumps
Xiong, Dewen; Kohlmann, Michael - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 723-755
Persistent link: https://www.econbiz.de/10009298440
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A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru; Elliott, Robert J.; Kulperger, Reg; … - In: International journal of theoretical and applied finance 14 (2011) 5, pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
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An approximate approach to the exponential utility indifference
Arai, Takuji - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
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An analysis of the supply curve for liquidity risk through book data
Blais, Marcel; Protter, Philip E. - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 821-838
Persistent link: https://www.econbiz.de/10008905116
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Quadratic hedging for the Bates model
Hubalek, Friedrich; Sgarra, Carlo - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
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Tracking errors from discrete hedging in exponential Lévy models
Brodén, Mats; Tankov, Peter - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 803-837
Persistent link: https://www.econbiz.de/10009381005
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Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
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European option pricing with liquidity shocks
Ludkovski, Michael; Shen, Qunying - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-30
Persistent link: https://www.econbiz.de/10010233260