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Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
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Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Journal of economic dynamics & control 38 (2014), pp. 125-141
Persistent link: https://www.econbiz.de/10010387852
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Portfolio selection with uncertain exit time : a robust CVaR approach
Huang, Dashan; Zhu, Shu-shang; Fabozzi, Frank J.; … - In: Journal of economic dynamics & control 32 (2008) 2, pp. 594-623
Persistent link: https://www.econbiz.de/10003642783
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Portfolio selection with uncertain exit time: A robust CVaR approach
Huang, Dashan; Zhu, Shu-Shang; Fabozzi, Frank J.; … - In: Journal of economic dynamics & control 32 (2008) 2, pp. 594-623
Persistent link: https://www.econbiz.de/10007898782
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Portfolio selection with uncertain exit time: A robust CVaR approach
Huang, Dashan; Zhu, Shu-Shang; Fabozzi, Frank J.; … - In: Journal of economic dynamics & control 32 (2008) 2, pp. 594-624
Persistent link: https://www.econbiz.de/10008880271
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Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan; Lindquist, W. Brent; Račev, Svetlozar T.; … - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464578