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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Closed formula for options with discrete dividends and its derivatives
Veiga, Carlos; Wystup, Uwe - 2008
Persistent link: https://www.econbiz.de/10003777487
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Analytical pricing of discretely monitored Asian-style options : theory and application to commodity markets
Fusai, Gianluca; Marena, Marina; Roncoroni, Andrea - In: Journal of banking & finance 32 (2008) 10, pp. 2033-2045
Persistent link: https://www.econbiz.de/10003778579
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Pricing temperature derivatives using a partial differential equation approach in incomplete markets
Ehlers, Manuel - 2008
Persistent link: https://www.econbiz.de/10003781004
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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Valuing multiple employee stock options issued by the same company
Dennis, Patrick; Rendleman, Richard J. - In: The journal of derivatives : the official publication … 16 (2008/09) 1, pp. 44-69
Persistent link: https://www.econbiz.de/10003771453
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Path dependent volatility
Foschi, Paolo; Pascucci, Andrea - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 13-32
Persistent link: https://www.econbiz.de/10003771581
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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Taking into account extreme events in European option pricing
Idier, Julien; Jardet, Caroline; LeFol, Gaëlle; … - In: Financial stability review : FSR 12 (2008), pp. 39-51
Persistent link: https://www.econbiz.de/10003772089
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Effects of issuing warrants and corporate bonds on traded options
Hua, Qiuling; Li, Jia; Yang, Chengrong - In: Journal of corporate treasury management : the official … 2 (2008/09) 1, pp. 37-41
Persistent link: https://www.econbiz.de/10003772958