Narrow search
Showing 1 - 7 of 7
Cover Image
Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594
Persistent link: https://www.econbiz.de/10010500871
Cover Image
Static hedges of barrier options under fast mean-reverting stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Ma, Yong-Ki - In: Computational economics 55 (2020) 1, pp. 185-210
Persistent link: https://www.econbiz.de/10012222596
Cover Image
Pricing two-asset barrier options under stochastic correlation via perturbation
Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44
Persistent link: https://www.econbiz.de/10011403748
Cover Image
Modeling tail dependence using stochastic volatility model
Kim, See-Woo; Ma, Yong-Ki; Necula, Ciprian - In: Computational economics 62 (2023) 1, pp. 129-147
Persistent link: https://www.econbiz.de/10014327243
Cover Image
The risk-adjusted carbon price
Bremer, Ton S. van den; Ploeg, Frederick van der - In: American economic review 111 (2021) 9, pp. 2782-2810
Persistent link: https://www.econbiz.de/10012614342
Cover Image
Computing sunspot solutions to rational expectations models with timing restrictions
Sorge, Marco M. - In: The B.E. journal of macroeconomics 20 (2020) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10012306513
Cover Image
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Delong, Łukasz - In: Mathematical methods of operations research 89 (2019) 1, pp. 73-113
Persistent link: https://www.econbiz.de/10011991725