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Pricing arithmetic average reset options with control variates
Liao, Szu-Lang; Wang, Chou-Wen - In: The journal of derivatives : the official publication … 10 (2002) 2, pp. 59-74
Persistent link: https://www.econbiz.de/10001745233
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Variance reduction for multivariate Monte Carlo simulation
Wang, Jr-yan - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 7-28
Persistent link: https://www.econbiz.de/10003771438
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Default correlation dynamics with business cyle and credit quality changes
Kim, Mi Ae; Kim, Tong Suk - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 8-27
Persistent link: https://www.econbiz.de/10003159462
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Performance of candlestick analysis on intraday futures data
Fock, J. Henning; Klein, Christian; Zwergel, Bernhard - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 28-40
Persistent link: https://www.econbiz.de/10003159536
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Derivative pricing models with regime switching : a general approach
Edwards, Craig Steven - In: The journal of derivatives : the official publication … 13 (2005) 1, pp. 41-47
Persistent link: https://www.econbiz.de/10003159539
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Year-end seasonality in one-month LIBOR derivatives
Neely, Christopher J.; Winters, Drew B. - In: The journal of derivatives : the official publication … 13 (2006) 3, pp. 47-65
Persistent link: https://www.econbiz.de/10003321083
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Semi-analytical valuation of basket credit derivatives in intensity-based models
Mortensen, Allan - In: The journal of derivatives : the official publication … 13 (2006) 4, pp. 8-26
Persistent link: https://www.econbiz.de/10003346497
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Optimal derivative strategies with discrete rebalancing
Branger, Nicole; Breuer, Beate; Schlag, Christian - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 67-84
Persistent link: https://www.econbiz.de/10003795464
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Credit spread options valuation under GARCH
Tahani, Nabil - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 27-39
Persistent link: https://www.econbiz.de/10003379106
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Where should you buy your options? : the pricing of exchange-traded certificates and OTC derivatives in Germany
Muck, Matthias - In: The journal of derivatives : the official publication … 14 (2006) 1, pp. 82-96
Persistent link: https://www.econbiz.de/10003379134