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ECONIS (ZBW)
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1
Expansion formulas for European quanto options in a local
volatility
FX-LIBOR model
Hok, Julien
;
Ngare, Philip
;
Papapantoleon, Antonis
- In:
International journal of theoretical and applied finance
21
(
2018
)
2
,
pp. 1-43
Persistent link: https://www.econbiz.de/10011854564
Saved in:
2
Approximate pricing of call options on the quadratic variation in Lévy models
Jahncke, Giso
;
Kallsen, Jan
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 241-256)
.
2016
Persistent link: https://www.econbiz.de/10011800371
Saved in:
3
Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework
Benth, Fred Espen
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 477-496)
.
2016
Persistent link: https://www.econbiz.de/10011800392
Saved in:
4
Equal
risk
pricing and hedging of financial derivatives with convex
risk
measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
5
Forward exponential indifference valuation in an incomplete binomial model
Musiela, Marek
;
Sokolova, E.
;
Zariphopoulou-Souganidis, …
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 277-302)
.
2016
Persistent link: https://www.econbiz.de/10011800382
Saved in:
6
A unified view of LIBOR models
Glau, Kathrin
;
Grbac, Zorana
;
Papapantoleon, Antonis
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 423-452)
.
2016
Persistent link: https://www.econbiz.de/10011800390
Saved in:
7
Computing Greeks for Lévy models : the fourier transform approach
Olivera, Federico de
;
Mordecki, Ernesto
- In:
Trends in mathematical economics : dialogues between …
,
(pp. 99-121)
.
2016
Persistent link: https://www.econbiz.de/10011800675
Saved in:
8
Pricing index options by static hedging under finite liquidity
Armstrong, John
;
Pennanen, Teemu
;
Rakwongwan, Udomsak
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
Saved in:
9
Pricing interest rate derivatives under monetary changes
Genaro, Alan de
;
Avellaneda, Marco
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011926590
Saved in:
10
Upper and lower bounds for convex value functions of
derivative
contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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