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Asian and Australian options : a common perspective
Ewald, Christian-Oliver; Menkens, Olaf; Ting, Sai Hung … - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1001-1018
Persistent link: https://www.econbiz.de/10009738291
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A Numerical Method for Solving Stochastic Optimal Control Problems with Linear Control
Chavanasporn, Walailuck - 2010
We introduce a numerical method to solve stochastic optimal control problems, which are linear in the control. We facilitate the idea of solving two-point boundary value problems with spline functions in order to solve the resulting dynamic programming equation. We then show how to effectively...
Persistent link: https://www.econbiz.de/10013140127
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A numerical method for solving stochastic optimal control problems with linear control
Chavanasporn, Walailuck; Ewald, Christian-Oliver - In: Computational economics 39 (2012) 4, pp. 429-446
Persistent link: https://www.econbiz.de/10009540913
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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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Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - 2009
Persistent link: https://www.econbiz.de/10003884274
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Stochastic volatility : risk minimization and model risk
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549908
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Closed-form solutions for European and digital calls in the Hull and White stochastic volatility model and their relation to locally R-minimizing and Delta hedges
Ewald, Christian-Oliver (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003549952
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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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Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical methods of operations research 74 (2011) 1, pp. 93-120
Persistent link: https://www.econbiz.de/10009270422
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A note on the Malliavin differentiability of the Heston volatility
Alos, Elisa (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003082664