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Asymptotic solutions for Australian options with low volatility

Ting, Sai Hung Marten; Ewald, Christian-Oliver - In: Applied mathematical finance 21 (2014) 5/6, pp. 595-613

Persistent link: https://www.econbiz.de/10010500870

Asian and Australian options : a common perspective

Ewald, Christian-Oliver; Menkens, Olaf; Ting, Sai Hung … - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1001-1018

Persistent link: https://www.econbiz.de/10009738291

On the Performance of Asymptotic Locally Risk Minimizing Hedges in the Heston Stochastic Volatility Model

Ting, Sai Hung Marten - 2011

This paper investigates the use of the asymptotic Heston solution in locally risk minimizing hedging. The asymptotic Heston solution is presented along with issues that are relevant to its use. Comparison between the exact and asymptotic Heston hedges are made using both simulated and real...

Persistent link: https://www.econbiz.de/10013132896

On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter

Ewald, Christian-Oliver; Zhang, Aihua; Zong, Zhe - In: Application of operations research to financial markets, (pp. 119-130). 2019

Persistent link: https://www.econbiz.de/10012157367

On the performance of the comonotonicity approach for pricing Asian options in some benchmark models from equities and commodities

Chen, Jilong; Ewald, Christian - In: Review of Pacific Basin financial markets and policies 20 (2017) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011697161

On the market-consistent valuation of fish farms : using the real option approach and salmon futures

Ewald, Christian-Oliver; Ouyang, Ruolan; Siu, Tak Kuen - In: American journal of agricultural economics 99 (2017) 1, pp. 207-224

Persistent link: https://www.econbiz.de/10011761182

Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility : an asymptotic method

Chen, Jilong; Ewald, Christian-Oliver - In: International review of financial analysis 52 (2017), pp. 144-151

Persistent link: https://www.econbiz.de/10011868721

On peacocks and lyrebirds : Australian options, Brownian bridges, and the average of submartingales

Ewald, Christian-Oliver; Yor, Marc - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 536-549

Persistent link: https://www.econbiz.de/10011969088

On the qualitative effect of volatility and duration on prices of Asian options

Carr, Peter; Ewald, Christian-Oliver; Xiao, Yajun - In: Finance research letters 5 (2008) 3, pp. 162-171

Persistent link: https://www.econbiz.de/10003769897

Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus

Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - 2009

Persistent link: https://www.econbiz.de/10003884274