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A semilinear Black and Scholes partial differential equation for valuing American options

Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298

Persistent link: https://www.econbiz.de/10001771698

Standard Risk Aversion and the Demand for Risky Assets in the Presence of Background Risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

We consider the demand for state contingent claims in the presence of a zero-mean, nonhedgeable background risk. An agent is defined to be generalized risk averse if he/she reacts to an increase in background risk by choosing a demand function for contingent claims with a smaller slope. We show...

Persistent link: https://www.econbiz.de/10010324068

Barrier option pricing by branching processes

Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073

Persistent link: https://www.econbiz.de/10003928804

Analytical approximation for the price dynamics of spark spread options

Benth, Fred Espen (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-26

Persistent link: https://www.econbiz.de/10003559113

Liquidity effect in OTC options markets : premium or discount?

Deuskar, Prachi; Gupta, Anurag; Subrahmanyam, Marti G. - In: Journal of financial markets 14 (2011) 1, pp. 127-160

Persistent link: https://www.econbiz.de/10009267085

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

Standard risk aversion and the demand for risky assets in the presence of background risk

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 2000

Persistent link: https://www.econbiz.de/10011544342

Pricing and hedging of energy spread options and volatility modulated Volterra processes

Benth, Fred Espen; Zdanowicz, Hanna - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011453780

Pricing of spread options on a bivariate jump market and stability to model risk

Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62

Persistent link: https://www.econbiz.de/10010505172

Pricing of basket options using univariate normal inverse Gaussian approximations

Benth, Fred Espen; Henriksen, Pål Nicolai - In: Journal of forecasting 30 (2011) 3, pp. 355-376

Persistent link: https://www.econbiz.de/10009233877