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Semivariance and optioned Black-Litterman portfolios
Chaudhary, Suneal K. - In: The journal of investing 21 (2012) 4, pp. 92-98
Persistent link: https://www.econbiz.de/10009707752
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Integer programs for margining option portfolios by option spreads with more than four legs
Matsypura, Dmytro; Timkovsky, V. G. - In: Computational Management Science : CMS 10 (2013) 1, pp. 51-76
Persistent link: https://www.econbiz.de/10009713809
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Pricing of margrabe options for large investors with application to asset-liability management in life insurance
Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122
Persistent link: https://www.econbiz.de/10010380906
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Optimal investment strategy for kinked utility maximization : covered call option strategy
Yamashita, Miwaka - In: Journal of mathematical finance 4 (2014) 2, pp. 55-74
Persistent link: https://www.econbiz.de/10010380912
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A novel nonlinear value-at-risk method for modeling risk of option portfolio with multivariate mixture of normal distributions
Chen, Rongda; Yu, Lean - In: Economic modelling 35 (2013), pp. 796-804
Persistent link: https://www.econbiz.de/10010336666
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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State price density estimation and nonparametric pricing of basket options
Kuang, Yuming; Lai, Tze Leung - In: Journal of mathematical finance 5 (2015) 5, pp. 448-456
Persistent link: https://www.econbiz.de/10011440200
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Efficient hedging of path-dependent options
Kolkiewicz, Adam W. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011525107
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Option volatility and pricing : advanced trading strategies and techniques
Natenberg, Sheldon - 2015 - 2. edition
Persistent link: https://www.econbiz.de/10010458469