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Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical methods of operations research 74 (2011) 1, pp. 93-120
Persistent link: https://www.econbiz.de/10009270422
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Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical methods of operations research 68 (2008) 1, pp. 97-123
Persistent link: https://www.econbiz.de/10003748388
Cover Image
Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Ewald, Christian-Oliver; Yang, Zhaojun - In: Mathematical methods of operations research 68 (2008) 1, pp. 97-124
Persistent link: https://www.econbiz.de/10008086260
Cover Image
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical methods of operations research 74 (2011) 1, pp. 93-121
Persistent link: https://www.econbiz.de/10009251614