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Advancing the universality of quadrature methods to any underlying process for option pricing

Chen, Ding; Härkönen, Hannu J.; Newton, David P. - In: Journal of financial economics 114 (2014) 3, pp. 600-612

Persistent link: https://www.econbiz.de/10010532686

Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps

Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27

Persistent link: https://www.econbiz.de/10011687339

On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing

Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - In: European financial management : the journal of the … 30 (2024) 3, pp. 1125-1164

Persistent link: https://www.econbiz.de/10014574015

Perpetual options on multiple underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200

Persistent link: https://www.econbiz.de/10010352003

A partial differential equation system for modelling stochastic storage in physical systems with applications to wind power generation

Howell, Sydney D.; Duck, Peter W.; Hazel, Andrew; … - In: IMA journal of management mathematics 22 (2011) 3, pp. 231-252

Persistent link: https://www.econbiz.de/10009297144

On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing

Han, Weihao; Newton, David; Platanakis, Emmanouil; … - 2022

Cryptocurrency returns are highly non-normal, casting doubt on the standard performance metrics. We apply almost stochastic dominance (ASD), which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we...

Persistent link: https://www.econbiz.de/10014088443