Narrow search
Showing 1 - 10 of 894
Cover Image
Speed-up credit exposure calculations for pricing and risk management
Glau, Kathrin; Pachón, Ricardo; Pötz, Christian - In: Quantitative finance 21 (2021) 3, pp. 481-499
Persistent link: https://www.econbiz.de/10012483835
Cover Image
Pricing of vulnerable exchange options with early counterparty credit risk
Kim, Donghyun; Kim, Geonwoo; Yoon, Ji-Hun - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013413573
Cover Image
New explicit closed form formulae for the prices of catastrophe options
Jin, Yunguo; Zhong, Shouming - In: International journal of financial engineering 2 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011333444
Cover Image
Pricing of vulnerable options with early counterparty credit risk
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 47 (2019), pp. 645-656
Persistent link: https://www.econbiz.de/10012120148
Cover Image
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de; Kandhai, Drona; Sloot, Peter M. A. - In: The journal of computational finance 21 (2017) 1, pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Cover Image
Algorithmic counterparty credit exposure for multi-asset Bermudan options
Shen, Yanbin; Anderluh, J. H. M.; Weide, Hans van der - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10011403163
Cover Image
Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196
Persistent link: https://www.econbiz.de/10011704227
Cover Image
Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes
Chen, Jun-Home; Lian, Yu-Min; Liao, Szu-Lang - In: The North American journal of economics and finance : a … 61 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013449359
Cover Image
Valuing catastrophe equity put options with liquidity risk, default risk and jumps
Tang, Chao; Chen, Peimin; Zhang, Shu - In: The North American journal of economics and finance : a … 76 (2025), pp. 1-20
Persistent link: https://www.econbiz.de/10015372584
Cover Image
Pricing basket spread options with default risk under GARCH-jump models
Dong, Dingding; Qian, Xianda; Wang, Xingchun - In: The journal of futures markets 45 (2025) 5, pp. 441-454
Persistent link: https://www.econbiz.de/10015376678