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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
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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
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Pricing volatility derivatives under the modified constant elasticity of variance model
Chan, Leunglung; Platen, Eckhard - 2015
Persistent link: https://www.econbiz.de/10011344235
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Benchmark approach for defaultable claims under partial information
Raju, I. Venkat Appal; Selvaraju, N. - In: International journal of financial engineering and risk … 1 (2013) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10010197913
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Local risk-minimization under the benchmark approach
Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134
Persistent link: https://www.econbiz.de/10010341774
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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
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Loading pricing of catastrophe bonds and other long-dated, insurance-type contracts
Platen, Eckhard; Taylor, David - 2016
Persistent link: https://www.econbiz.de/10011778139