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Valuation of Asian options with default risk under GARCH models
Wang, Xingchun - In: International review of economics & finance : IREF 70 (2020), pp. 27-40
Persistent link: https://www.econbiz.de/10012486762
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Model risk qualification based on relative entropy
Arrieta, Daniel - In: The journal of risk model validation 16 (2022) 3, pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
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Portfolio optimization : a multi-period model with dynamic risk preference and minimum lots of transaction
Liu, Yiying; Zhou, Yongbin; Niu, Juanjuan - In: Finance research letters 55 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014473466
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Sensitivity analysis for averaged asset price dynamics with gamma processes
Kawai, Reiichiro; Takeuchi, Atsushi - 2010
The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform...
Persistent link: https://www.econbiz.de/10009474943
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Pricing and hedging Asian-style options on energy
Benth, Fred Espen; Detering, Nils - In: Finance and stochastics 19 (2015) 4, pp. 849-889
Persistent link: https://www.econbiz.de/10011421055
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Ironing out the kinks in executive compensation : linking incentive pay to average stock prices
Tian, Yisong Sam - In: Journal of banking & finance 37 (2013) 2, pp. 415-432
Persistent link: https://www.econbiz.de/10009705644
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Bounds for path-dependent options
Brown, Donald J.; Ibragimov, Rustam Ju.; Walden, Johan - In: Annals of finance 11 (2015) 3/4, pp. 433-451
Persistent link: https://www.econbiz.de/10011459441
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Asymptotic solutions for Australian options with low volatility
Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613
Persistent link: https://www.econbiz.de/10010500870
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Analytical pricing of discrete arithmetic Asian options with mean reversion and jumps
Chung, Shing Fung; Wong, Hoi Ying - In: Journal of banking & finance 44 (2014), pp. 130-140
Persistent link: https://www.econbiz.de/10010410368