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Super-exponential growth expectations and the global financial crisis
Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - In: Journal of economic dynamics & control 55 (2015), pp. 1-13
Persistent link: https://www.econbiz.de/10011587105
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
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Cross-hedging minimum return guarantees : basis and liquidity risks
Ankirchner, Stefan; Schneider, Judith Christiane; … - In: Journal of economic dynamics & control 41 (2014), pp. 93-109
Persistent link: https://www.econbiz.de/10010425003
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Real options and contingent convertibles with regime switching
Luo, Pengfei; Yang, Zhaojun - In: Journal of economic dynamics & control 75 (2017), pp. 122-135
Persistent link: https://www.econbiz.de/10011817155
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Equal risk pricing under convex trading constraints
Guo, Ivan; Zhu, Song-Ping - In: Journal of economic dynamics & control 76 (2017), pp. 136-151
Persistent link: https://www.econbiz.de/10011817212
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Learning and forecasts about option returns through the volatility risk premium
Bernales, Alejandro; Chen, Louisa; Valenzuela, Marcela - In: Journal of economic dynamics & control 82 (2017), pp. 312-330
Persistent link: https://www.econbiz.de/10011915574
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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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Hysteresis due to irreversible exit : addressing the option to mothball
Guerra, Manuel; Kort, Peter M.; Nunes, Cláudia; … - In: Journal of economic dynamics & control 92 (2018), pp. 69-83
Persistent link: https://www.econbiz.de/10011974233
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Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
García, Diego - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1855-1879
Persistent link: https://www.econbiz.de/10001755436
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An object-oriented framework for valuing shout options on high-performance computer architectures
Windcliff, H.; Vetzal, Kenneth R.; Forsyth, Peter A.; … - In: Journal of economic dynamics & control 27 (2003) 6, pp. 1133-1161
Persistent link: https://www.econbiz.de/10001734585