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Ultra-fast pricing barrier options and CDSs
Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011734044
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An implied volatility model determined by credit default swaps
Heider, Pascal - In: International journal of theoretical and applied finance 15 (2012) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10009685890
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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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Credit derivatives pricing with stochastic volatility models
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10009779780
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New model for pricing quanto credit default swaps
Itkin, A.; Shcherbakov, V.; Veygman, A. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-37
Persistent link: https://www.econbiz.de/10012019847
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Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
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Pricing and hedging barrier options in a hyper-exponential additive model
Jeannin, Marc; Pistorius, Martijn - In: International journal of theoretical and applied finance 13 (2010) 5, pp. 657-681
Persistent link: https://www.econbiz.de/10008904332
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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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Prices of barrier and first-touch digital options in Lévy-driven models, near barrier
Boyarchenko, Mitya; Innocentis, Marco de; Levendorskij, … - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1045-1090
Persistent link: https://www.econbiz.de/10009407673