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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171
Persistent link: https://www.econbiz.de/10003769897
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On the qualitative effect of volatility and duration on prices of Asian options
Carr, Peter; Ewald, CXhristian-Oliver; Xiao, Yajun - 2008
Persistent link: https://www.econbiz.de/10003680543
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First-order calculus and option pricing
Carr, Peter - In: Journal of financial engineering 1 (2014) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010508100
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From structural assumptions to a link between assets and interrest rates
Reiß, Oliver; Schoenmakers, John; Schweizer, Martin - In: Journal of economic dynamics & control 31 (2007) 2, pp. 593-612
Persistent link: https://www.econbiz.de/10003412327
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Minimum return guarantees with funds switching rights : an optimal stopping problem
Mahayni, Antje; Schoenmakers, John - 2010
Persistent link: https://www.econbiz.de/10008656668
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A new Monte Carlo method for American options
Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
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Deriving derivatives of derivative securities
Carr, Peter - In: The journal of computational finance 4 (2000/2001) 2, pp. 5-29
Persistent link: https://www.econbiz.de/10001553928
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Static hedging of timing risk
Carr, Peter; Picron, Jean-Francois - In: The journal of derivatives : the official publication … 6 (1999) 3, pp. 57-70
Persistent link: https://www.econbiz.de/10001432497
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Randomization and the American put
Carr, Peter - In: The review of financial studies 11 (1998) 3, pp. 597-626
Persistent link: https://www.econbiz.de/10001249758
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Minimum return guarantees with fund switching rights : an optimal stopping problem
Mahayni, Antje; Schoenmakers, John - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1880-1897
Persistent link: https://www.econbiz.de/10009316471