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Robust Hedging of Barrier Options
Brown, Haydyn; Hobson, David; Rogers, L. C. G. - In: Mathematical Finance 11 (2001) 3, pp. 285-314
Persistent link: https://www.econbiz.de/10005294277
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TWO-SECTOR STOCHASTIC GROWTH MODELS *
HARTLEY, P.M.; ROGERS, L.C.G. - In: Australian Economic Papers 44 (2005) 4, pp. 322-351
This paper develops the study of two-sector growth models of the form introduced by Arrow and Kurz (1970). We extend their deterministic model by allowing the population process to become random and by allowing the population to choose their level of effort. We find that under suitable...
Persistent link: https://www.econbiz.de/10005157681
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Recovery of Preferences from Observed Wealth in a Single Realization
Dybvig, Philip H.; Rogers, L.C.G. - In: The review of financial studies 10 (1997) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10007308657
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Portfolio Turnpikes
Dybvig, Philip H.; Rogers, L.C.G.; Back, Kerry - In: The review of financial studies 12 (1999) 1, pp. 165-196
Persistent link: https://www.econbiz.de/10007344050
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Stocks Paying Discrete Dividends: Modeling and Option Pricing
Korn, Ralf; Rogers, L.C.G. - In: The journal of derivatives : the official publication … 13 (2005) 2, pp. 44-48
Persistent link: https://www.econbiz.de/10005919524
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Consistent fitting of one-factor models to interest rate data
Rogers, L.C.G.; Stummer, Wolfgang - In: Insurance / Mathematics & economics 27 (2000) 1, pp. 45-64
Persistent link: https://www.econbiz.de/10006906963
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Estimating correlation from high, low, opening and closing prices Ee:230
Rogers, L.C.G.; Zhou, Fanyin - In: Operations research, Management science : OR MS ; the … 48 (2008) 4-5, pp. 477-478
Persistent link: https://www.econbiz.de/10008165355
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Monte Carlo Valuation of American Options
Rogers, L.C.G. - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 271
Persistent link: https://www.econbiz.de/10008216215
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Optimal capital structure and endogenous default
Hilberink, Bianca; Rogers, L.C.G. - In: Finance and stochastics 6 (2002) 2, pp. 237-264
Persistent link: https://www.econbiz.de/10008216436
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The relaxed investor and parameter uncertainty
Rogers, L.C.G. - In: Finance and stochastics 5 (2001) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10008217152