Similar Search Results - EconBiz

Option pricing using variance gamma Markov Chains

Konikov, Mikhail; Madan, Dilip B. - In: Review of derivatives research 5 (2002) 1, pp. 58-115

Persistent link: https://www.econbiz.de/10001652024

A Parametric n-Dimensional Markov-Functional Model in the Terminal Measure

Kaisajuntti, Linus - 2011

This paper develops and tests an n-dimensional Markov-functional interest rate model in the terminal measure based on parametric functional forms of exponential type. The parametric functional forms enable analytical expressions for forward discount bonds and forward LIBORs at all times and...

Persistent link: https://www.econbiz.de/10013122137

Markovprozesse und stochastische Differentialgleichungen : vom Zufallsspaziergang zur Black-Scholes-Formel

Behrends, Ehrhard - 2013

Persistent link: https://www.econbiz.de/10009678166

Portfolio insurance and volatility : on the robustness of the Black-Scholes option pricing model

Frey, Rüdiger; Stremme, Alexander - 1993

Persistent link: https://www.econbiz.de/10000412479

Modeling the term structure of interest rates : a review of the literature

Gibson, Rajna; Lhabitant, François-Serge; Talay, Denis - 1998

Persistent link: https://www.econbiz.de/10000168118

Mathematics of financial markets

Elliott, Robert J.; Kopp, Peter E. - 1999

Persistent link: https://www.econbiz.de/10000663279

Path-dependent option valuation when the underlying path is discontinuous

Zhou, Chunsheng - 1997

Persistent link: https://www.econbiz.de/10000633272

Option hedging using empirical pricing kernels

Rosenberg, Joshua V.; Engle, Robert F. - 1997

Persistent link: https://www.econbiz.de/10000643460

Strategien zur Absicherung ungewisser Verpflichtungen mit Transaktionskosten im Binomialmodell

Wehrmann, Dirk C. - 1998

Persistent link: https://www.econbiz.de/10000676156

Jarrow, Robert A.; Rudd, Andrew - 1983

Persistent link: https://www.econbiz.de/10000065976

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