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Bonds and options in exponentially affine bond models

Bermin, Hans-Peter - In: Applied mathematical finance 19 (2012) 5/6, pp. 513-534

Persistent link: https://www.econbiz.de/10009710929

On dynamic forward rate modeling and principal component analysis

Bermin, Hans-Peter - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10010437211

A general approach to hedging options: applications to barrier and partial barrier options

Bermin, Hans-Peter - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 199-218

Persistent link: https://www.econbiz.de/10001686368

Hedging options : the Malliavin calculus approach versus the -hedging approach

Bermin, Hans-Peter - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 73-84

Persistent link: https://www.econbiz.de/10001765649

Hedging lookback and partial lookback options using Malliavin calculus

Bermin, Hans-Peter - In: Applied mathematical finance 7 (2000) 2, pp. 75-100

Persistent link: https://www.econbiz.de/10001563798

Two exotic lookback options

Bermin, Hans-Peter; Buchen, Peter W.; Konstandatos, Otto - In: Applied mathematical finance 15 (2008) 3/4, pp. 387-402

Persistent link: https://www.econbiz.de/10003751373

Local volatility changes in the Black-Scholes model

Bermin, Hans-Peter; Kohatsu-Higa, Arturo - 1999

Persistent link: https://www.econbiz.de/10001425316

Local vega index and variance reduction methods

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97

Persistent link: https://www.econbiz.de/10001765651

Welfare effects of controlling labor supply : an application of the stochastic Ramsey model

Amilon, Henrik; Bermin, Hans-Peter - In: Journal of economic dynamics & control 28 (2003) 2, pp. 331-348

Persistent link: https://www.econbiz.de/10001799562

Hints for an Extension of the Early Exercise Premium Formula for American Options

Bermin, Hans-Peter - 2004

The characterization of the American put option price is still an open issue. From the beginning of the nineties there exists a non-closed formula for this price but nontrivial numerical computations are required to solve it. Strong efforts have been made to propose computational efficient...

Persistent link: https://www.econbiz.de/10012737745