Narrow search
Showing 1 - 10 of 17
Cover Image
An Engagement Model To Optimize Defense Against a Multiple Attack Assuming Perfect Kill Assessment
Nguyen, B.U.; Smith, P.A.; Nguyen, D. - In: Naval research logistics : an international journal 44 (1997) 7, pp. 687
Persistent link: https://www.econbiz.de/10005981863
Cover Image
ADRs under momentum and contrarian strategies
Parhizgari, A.M.; Nguyen, D. - In: Global Finance Journal 19 (2008) 2, pp. 102-122
Given the recent growth in the American Depositary Receipts (ADRs) and the current general climate of globalization in world equity exchanges, this paper investigates the ADRs as a distinct group of stocks within the framework of momentum and contrarian strategies. It considers the entire body...
Persistent link: https://www.econbiz.de/10005235233
Cover Image
ADRs under momentum and contrarian strategies
Parhizgari, A.M.; Nguyen, D. - In: Global finance journal 19 (2008) 2, pp. 102-122
Persistent link: https://www.econbiz.de/10008087799
Cover Image
ADRs under momentum and contrarian strategies
Parhizgari, A.M.; Nguyen, D. - In: Global finance journal 19 (2008) 2, pp. 102-123
Persistent link: https://www.econbiz.de/10008883733
Cover Image
Prices and Asymptotics for Discrete Variance Swaps
Bernard, Carole; Cui, Zhenyu - In: Applied Mathematical Finance 21 (2014) 2, pp. 140-173
We study the fair strike of a discrete variance swap for a general time-homogeneous stochastic volatility model. In the special cases of Heston, Hull--White and Schöbel--Zhu stochastic volatility models, we give simple explicit expressions (improving Broadie and Jain (2008a). The effect of...
Persistent link: https://www.econbiz.de/10010973382
Cover Image
Comment on “Option pricing under the Merton model of the short rate” by Kung and Lee [Math. Comput. Simul. 80 (2009) 378–386]
Cui, Zhenyu; Mcleish, Don - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 1, pp. 1-4
In this note, we correct the formula given in Ref. [3] for European call and put option under Merton's model of the short rate. We give a probabilistic derivation making use of the “change of numeraire” technique which is simpler and more standard.
Persistent link: https://www.econbiz.de/10011050971
Cover Image
On the martingale property in stochastic volatility models based on time-homogeneous diffusions
Bernard, Carole; Cui, Zhenyu; McLeish, Don - arXiv.org - 2013
Lions and Musiela (2007) give sufficient conditions to verify when a stochastic exponential of a continuous local martingale is a martingale or a uniformly integrable martingale. Blei and Engelbert (2009) and Mijatovi\'c and Urusov (2012c) give necessary and sufficient conditions in the case of...
Persistent link: https://www.econbiz.de/10011067189
Cover Image
Comment on “Modeling non-monotone risk aversion using SAHARA utility functions” [J. Econ. Theory 146 (2011) 2075–2092]
Cui, Zhenyu - In: Journal of Economic Theory 153 (2014) C, pp. 703-705
We correct the results in Proposition 2.2 (p. 2078) of Chen et al. (2011) [1] and the part on comparison of prudence levels on p. 2081.
Persistent link: https://www.econbiz.de/10011043041
Cover Image
Correction note for ‘The large-maturity smile for the Heston model’
Bernard, Carole; Cui, Zhenyu; Forde, Martin; Jacquier, … - In: Finance and Stochastics 17 (2013) 1, pp. 223-224
The papers (Forde and Jacquier in Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>; Forde et al. in Finance Stoch. 15:781–784, <CitationRef CitationID="CR2">2011</CitationRef>) study large-time behaviour of the price process in the Heston model. This note corrects typos in Forde and Jacquier (Finance Stoch. 15:755–780, <CitationRef CitationID="CR1">2011</CitationRef>), Forde et al. (Finance...</citationref></citationref></citationref>
Persistent link: https://www.econbiz.de/10010997068