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Pricing perpetual American CatEPut options when stock prices are correlated with catastrophe losses

Kim, Hwa-sung; Kim, Bara; Kim, Jerim - In: Economic modelling 41 (2014), pp. 15-22

Persistent link: https://www.econbiz.de/10010438507

From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options

Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202

Persistent link: https://www.econbiz.de/10011966746

Monotonicity of prices in Heston model

Aly, Sidi Mohamed Ould - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009756039

The Affine Heston Model with Correlated Gaussian Interest Rates for Pricing Hybrid Derivatives

Grzelak, Lech A. - 2014

In this article we define a multi-factor equity-interest rate hybrid model with non-zero correlation between the stock … processes [Duffie, et al.-2000] allowing fast calibration to plain vanilla options. We also provide an efficient Monte Carlo … simulation scheme and investigate hedging in the presence of non-zero correlation between the processes from different asset …

Persistent link: https://www.econbiz.de/10013070982

Hedging (co)variance risk with variance swaps

Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 899-943

Persistent link: https://www.econbiz.de/10009380996

Stochastic correlation and volatility mean-reversion : empirical motivation and derivatives pricing via perturbation theory

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: Applied mathematical finance 21 (2014) 5/6, pp. 555-594

Persistent link: https://www.econbiz.de/10010500871

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

Optimal portfolios when variances and covariances can jump

Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89

Persistent link: https://www.econbiz.de/10011919303

Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10011742281

Valuation of options on the maximum of two prices with default risk under GARCH models

Wang, Xingchun - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012822187