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Option valuation in the presence of market imperfections
Bell, Andreas - 1993
Persistent link: https://www.econbiz.de/10012699390
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Pricing CMS spreads in the Libor market model
Belomestny, Denis; Kolodko, Anastasia; Schoenmakers, … - 2008
Persistent link: https://www.econbiz.de/10003809706
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Representations for optimal stopping under dynamic monetary utility functionals
Krätschmer, Volker; Schoenmakers, John - 2009
Persistent link: https://www.econbiz.de/10003924289
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Fast, stable and accurate method for the Black-Scholes equation of American options
Ehrhardt, Matthias; Mickens, Ronald E. - 2008
Persistent link: https://www.econbiz.de/10003716552
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Nonlinear models in option pricing : an introduction
Ehrhardt, Matthias - 2008
Persistent link: https://www.econbiz.de/10012878322
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Nonlinear pricing : theory & applications
May, Christopher T. - 1999
Persistent link: https://www.econbiz.de/10000671713
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Examining binomial option price approximations
Reimer, Matthias - 1997
Persistent link: https://www.econbiz.de/10000647506
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The influence of heterogeneous preferences on asset prices in an incomplete market model
Niehaus, Frank - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10011526229
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Financial pricing models in continuous time and Kalman filtering
Kellerhals, Boris-Philipp; Kellerhals, Boris Philipp - 2001
Persistent link: https://www.econbiz.de/10001591594
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Real options and investment under uncertainty : classical readings and recent contributions
Schwartz, Eduardo S. (ed.); Trigeorgis, Lenos (contributor) - 2001
Persistent link: https://www.econbiz.de/10001629903