Similar Search Results

Applications of randomized low discrepancy sequences to the valuation of complex securities

Tan, Ken Seng; Boyle, Phelim P. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1747-1782

Persistent link: https://www.econbiz.de/10001508772

Robust stochastic discount factors

Boyle, Phelim P.; Feng, Shui; Tian, Weidong; Wang, Tan - In: The review of financial studies 21 (2008) 3, pp. 1077-1122

Persistent link: https://www.econbiz.de/10003742222

The financial market : not as big as you think

Tian, Weidong - In: Mathematics and financial economics 13 (2019) 1, pp. 67-85

Persistent link: https://www.econbiz.de/10012055752

Callable contingent capital : valuation and default risk

Tian, Weidong - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 112-130

Persistent link: https://www.econbiz.de/10011818797

Risk-based capital for financial institutions

Boyle, Phelim P. - In: Financial risk in insurance, (pp. 47-61). 1995

Persistent link: https://www.econbiz.de/10001288425

Options: a Monte Carlo approach

Boyle, Phelim P. - In: Options : classic approaches to pricing and modelling, (pp. 233-248). 1999

Persistent link: https://www.econbiz.de/10001772457

Optimal hedging with basis risk under mean-variance criterion

Zhang, Jingong; Tan, Ken Seng; Weng, Chengguo - In: Insurance / Mathematics & economics 75 (2017), pp. 1-15

Persistent link: https://www.econbiz.de/10011740687

Valuation of carbon emission allowance options under an open trading phase

Fang, Mingyu; Tan, Ken Seng; Wirjanto, Tony S. - In: Energy economics 131 (2024), pp. 1-12

This paper presents valuation models of emission allowance options under an emission trading scheme, operating in an open trading phase, where unused allowances are banked to subsequent phases without any limit. Empirical studies are carried out to show that allowance option prices exhibit...

Persistent link: https://www.econbiz.de/10015046272

Semi-nonparametric approximation and index options

Jiang, Julia; Tian, Weidong - In: Annals of finance 15 (2019) 4, pp. 563-600

Persistent link: https://www.econbiz.de/10012240184

Prices and sensitivities of Asian options : a survey

Boyle, Phelim P.; Potapchik, Alexander - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 189-211

Persistent link: https://www.econbiz.de/10003682191