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Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk
Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24
VaR and CVaR metrics, the identification of optimal portfolios, and the pricing of European-style basket options. We … propose a Laplace-transform-based approach to computing Value at Risk (VaR) and conditional VaR (also known as the expected …
Persistent link: https://www.econbiz.de/10014446758
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Analysis and valuation of European-style and American-style exchange and spread options : the Brazilian case
Souza, Giuliano Carrozza Uzêda Iorio de; Samanez, Carlos P. - In: Revista brasileira de economia de empresas : … 13 (2013) 1, pp. 7-36
Persistent link: https://www.econbiz.de/10011450690
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Solving asset pricing models with stochastic volatility
De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321
Persistent link: https://www.econbiz.de/10011474217
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Wiener chaos expansion and numerical solutions of the Heath-Jarrow-Morton interest rate model
Kalpinelli, Evangelia A.; Frangos, Nikolaos E.; … - In: The journal of computational finance 19 (2016) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10011603168
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Stochastic differential games : a sampling approach via FBSDEs
Exarchos, Ioannis; Theodorou, Evangelos; Tsiotras, … - In: Dynamic games and applications : DGA 9 (2019) 2, pp. 486-505
Persistent link: https://www.econbiz.de/10012225457
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On spread option pricing using two-dimensional fourier transform
Alfeus, Mesias; Schlögl, Erik - In: International journal of theoretical and applied finance 22 (2019) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10012153028
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American option valuation methods
Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10011861003
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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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Pricing American option using a modified fractional black-scholes model under multi-state regime switching
Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21
Persistent link: https://www.econbiz.de/10014497295
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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...
Persistent link: https://www.econbiz.de/10011539896