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A reduced form model for ESO valuation : modelling the effects of employee departure and takeovers on the value of employee share options

Szimayer, Alexander - In: Mathematical methods of operations research 59 (2004) 1, pp. 111-128

Persistent link: https://www.econbiz.de/10001936335

Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance

Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001758056

Alternative model specifications for implied volatility measured by the German VDAX

Wagner, Niklas F.; Szimayer, Alexander - In: Kredit und Kapital 34 (2001) 4, pp. 590-618

Persistent link: https://www.econbiz.de/10001654495

A parsimonious multi-asset Heston model : calibration and derivative pricing

Dimitroff, Georgi; Lorenz, Stefan; Szimayer, Alexander - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1299-1333

Persistent link: https://www.econbiz.de/10009541994

Pricing American options in the Heston model : a close look on incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - 2011

Persistent link: https://www.econbiz.de/10009688311

Quanto option pricing in the parsimonious Heston model

Dimitroff, Georgi; Szimayer, Alexander; Wagner, Andreas - 2009

Persistent link: https://www.econbiz.de/10009688320

A parsimonious multi-asset Heston model : calibration and derivative pricing

Szimayer, Alexander; Dimitroff, Geogri; Lorenz, Stefan - 2009

Persistent link: https://www.econbiz.de/10009688323

Pricing American options in the Heston model : a close look at incorporating correlation

Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 9-29

Persistent link: https://www.econbiz.de/10009725351

Quanto Option Pricing in the Parsimonious Heston Model

Dimitroff, Georgi; Szimayer, Alexander; Wagner, Andreas - 2009

In this work we use the Parsimonious Multi–Asset Heston model recently developed in [Dimitroff et al., 2009] at Fraunhofer ITWM, Department Financial Mathematics, Kaiserslautern (Germany) and apply it to Quanto options. We give a summary of the model and its calibration scheme. A suitable...

Persistent link: https://www.econbiz.de/10014203781

Marginal consistent dependence modelling using weak subordination for Brownian motions

Michaelsen, Markus; Szimayer, Alexander - In: Quantitative finance 18 (2018) 11, pp. 1909-1925

Persistent link: https://www.econbiz.de/10012262863