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Three-Benchmarked Risk Minimization for Jump Diffusion Markets

Du, Ke; Platen, Eckhard - Finance Discipline Group, Business School - 2011

benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing … pricing and hedging for an increasing number of not fully replicable benchmarked contingent claims. …

Persistent link: https://www.econbiz.de/10009357762

Benchmarked risk minimization

Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637

Persistent link: https://www.econbiz.de/10011583786

Credit derivative evaluation and CVA under the benchmark approach

Baldeaux, Jan; Platen, Eckhard - In: Asia-Pacific financial markets 22 (2015) 3, pp. 305-331

Persistent link: https://www.econbiz.de/10011524811

Pricing volatility derivatives under the modified constant elasticity of variance model

Chan, Leunglung; Platen, Eckhard - In: Operations research letters 43 (2015) 4, pp. 419-422

Persistent link: https://www.econbiz.de/10011372401

Pricing currency derivatives under the benchmark approach

Baldeaux, Jan; Grasselli, Martino; Platen, Eckhard - In: Journal of banking & finance 53 (2015), pp. 34-48

Persistent link: https://www.econbiz.de/10011377682

Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts

Platen, Eckhard; Taylor, David - 2016

Persistent link: https://www.econbiz.de/10011778139

Currency derivatives under a minimal market model with random scaling

Heath, David C.; Platen, Eckhard - 2005

Persistent link: https://www.econbiz.de/10002765054

Fair pricing of weather derivatives

Platen, Eckhard; West, Jason - 2003

Persistent link: https://www.econbiz.de/10002250908

Understanding the implied volatility surface for options on a diversified index

Heath, David C.; Platen, Eckhard - 2004

Persistent link: https://www.econbiz.de/10002253953

Hedging for the long run

Hulley, Hardy; Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003856788