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An Empirical Comparison of Default Swap Pricing Models
Houweling, Patrick - 2011
. Keywords: credit default swaps, credit derivatives, credit risk, default risk, default-free interest rates …
Persistent link: https://www.econbiz.de/10013134238
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Chapter 5. Computational Methods for Derivatives with Early Exercise Features
Chiarella, Carl; Kang, Boda; Meyer, Gunter; Ziogas, Andrew - In: Handbook of computational economics : volume 3, (pp. 225-275). 2014
In this paper we consider various computational methods for pricing American style derivatives. We do so under both …
Persistent link: https://www.econbiz.de/10014025717
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Fundamental Capital Valuation for IT Companies : A Real Options Approach
Baek, Chung - 2014
This study attempts to estimate the fundamental capital value of a growing firm by combining two separate capital valuation techniques, namely the corporate debt valuation of Merton (1974) and the rational pricing technique of internet companies of Schwartz and Moon (2000). For simplicity, the...
Persistent link: https://www.econbiz.de/10013070525
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Fundamental Capital Valuation for IT Companies : A Real Options Approach
Baek, Chung - 2019
This study attempts to estimate the fundamental capital value of a growing firm by combining two separate capital valuation techniques, namely the corporate debt valuation of Merton (1974) and the rational pricing technique of internet companies of Schwartz and Moon (2000). For simplicity, the...
Persistent link: https://www.econbiz.de/10012906185
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Unique option pricing measure with neither dynamic hedging nor complete markets
Taleb, Nassim Nicholas - In: European financial management : the journal of the … 21 (2015) 2, pp. 228-235
Persistent link: https://www.econbiz.de/10010516685
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Computational finance
Stentoft, Lars - In: Journal of risk and financial management : JRFM 13 (2020) 7/145, pp. 1-4
of numerical methods for pricing, hedging, and risk management of financial instruments. …
Persistent link: https://www.econbiz.de/10012309311
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Participating contingent premium options
Rajae, Aboulaich; Amina, Dchieche - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-14
Persistent link: https://www.econbiz.de/10011697145
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Equity-linked executive compensation, hedging and foreign exchange exposure : Australian evidence
Loriot, Blake; Hutson, Elaine; Au Yong, Hue Hwa - In: Australian journal of management 45 (2020) 1, pp. 72-93
Persistent link: https://www.econbiz.de/10012175234
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A review of new developments in finance with deep learning : deep hedging and deep calibration
Shinozaki, Yuji - 2024
Persistent link: https://www.econbiz.de/10015053520
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Optimal hedging of variance derivatives
Crosby, John - In: The European journal of finance 20 (2014) 1/3, pp. 150-180
Persistent link: https://www.econbiz.de/10010462131