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Pricing exotic options in a regime switching economy : a Fourier transform method
Hieber, Peter - In: Review of derivatives research 21 (2018) 2, pp. 231-252
Persistent link: https://www.econbiz.de/10012055739
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Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
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Stochastic covariance and dimension reduction in the pricing of basket options
Escobar, Marcos; Krause, Daniel; Zagst, Rudi - In: Review of derivatives research 19 (2016) 3, pp. 165-200
Persistent link: https://www.econbiz.de/10011927967
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-245
Persistent link: https://www.econbiz.de/10008638176