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Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical Finance 13 (2003) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10005139694
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Local Vega Index and Variance Reduction Methods
Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical Finance 13 (2003) 1, pp. 85-97
Persistent link: https://www.econbiz.de/10005139708
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UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
Kohatsu-Higa, Arturo; Sulem, Agnès - In: Mathematical Finance 16 (2006) 1, pp. 153-179
Persistent link: https://www.econbiz.de/10005655241
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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES
Pham, Huyên; Tankov, Peter - In: Mathematical Finance 18 (2008) 4, pp. 613-627
Persistent link: https://www.econbiz.de/10005023767
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CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Cont, Rama; Tankov, Peter - In: Mathematical Finance 19 (2009) 3, pp. 379-401
Persistent link: https://www.econbiz.de/10005023805