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Performance of advanced stock price models when it becomes exotic : an empirical study
Junike, Gero; Schoutens, Wim; Stier, Hauke - In: Annals of finance 18 (2022) 1, pp. 109-119
Persistent link: https://www.econbiz.de/10013194639
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Closed-form interpolation-based formulas for European call options written on defaultable assets
Orosi, Greg - In: The journal of asset management 16 (2015) 4, pp. 236-242
Persistent link: https://www.econbiz.de/10011413347
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General optimized lower and upper bounds for discrete and continuous arithmetic Asian options
Fusai, Gianluca; Kyriakou, Ioannis - In: Mathematics of operations research 41 (2016) 2, pp. 531-559
Persistent link: https://www.econbiz.de/10011520483
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A general framework for pricing Asian options under stochastic volatility on parallel architecture
Corsaro, Stefania; Kyriakou, Ioannis; Marazzina, Daniele; … - In: European journal of operational research : EJOR 272 (2019) 3, pp. 1082-1095
Persistent link: https://www.econbiz.de/10011942796
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Novel no-arbitrage conditions for options written on defaultable assets
Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 4, pp. 201-205
Persistent link: https://www.econbiz.de/10010462904
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Improved lower bounds of call options written on defaultable assets
Orosi, Greg - In: Journal of derivatives & hedge funds 20 (2014) 3, pp. 127-130
Persistent link: https://www.econbiz.de/10010462983
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General lattice methods for arithmetic Asian options
Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
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A novel method for arbitrage-free option surface construction
Orosi, Greg - In: Annals of financial economics 14 (2019) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10012226655
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Affine-structure models and the pricing of energy commodity derivatives
Kyriakou, Ioannis; Nomikos, Nikos K.; Papapostolou, Nikos C. - In: European financial management : the journal of the … 22 (2016) 5, pp. 853-881
Persistent link: https://www.econbiz.de/10011713164
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A robust method to retrieve option implied risk neutral densities for defaultable assets
Leduc, Guillaume; Orosi, Greg - In: International journal of financial markets and derivatives 5 (2016) 2/4, pp. 212-224
Persistent link: https://www.econbiz.de/10011742316