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Nonparametric, conditional pricing of higher order multivariate contingent claims
Giannopoulos, Kostas - In: Journal of banking & finance 32 (2008) 9, pp. 1907-1915
Persistent link: https://www.econbiz.de/10003774993
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Multivariate digital options with memory
Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
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Analytical valuation of autocallable notes
Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23
Persistent link: https://www.econbiz.de/10011333447
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A Bayesian multivariate risk-neutral method for pricing reverse mortgages
Kogure, Atsuyuki; Li, Jackie; Kamiya, Shinichi - In: North American actuarial journal 18 (2014) 1, pp. 242-257
Persistent link: https://www.econbiz.de/10011339009
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The αVG model for multivariate asset pricing : calibration and extension
Guillaume, Florence - In: Review of derivatives research 16 (2013) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10009729942
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A multivariate pure-jump model with multi-factorial dependence structure
Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10009624464
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Lévy processes induced by dirichlet (b-)splines : modeling multivariate asset price dynamics
Kaishev, Vladimir K. - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 217-247
Persistent link: https://www.econbiz.de/10009721751
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The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Franceso - In: International journal of forecasting 30 (2013) 1, pp. 78-98
Persistent link: https://www.econbiz.de/10010247010
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851