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Functional Itô calculus
Dupire, Bruno - In: Quantitative finance 19 (2019) 5, pp. 721-729
Persistent link: https://www.econbiz.de/10012194711
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Hedging futures options with stochastic interest rates
Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2016
Persistent link: https://www.econbiz.de/10011778107
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Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67
Persistent link: https://www.econbiz.de/10012424632
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Exploring option pricing and hedging via volatility asymmetry
Casas, Isabel; Veiga, Helena - In: Computational economics 57 (2021) 4, pp. 1015-1039
Persistent link: https://www.econbiz.de/10012543248
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Efficient pricing and hedging of high-dimensional American options using deep recurrent networks
Na, Andrew S.; Wan, Justin W. L. - In: Quantitative finance 23 (2023) 4, pp. 631-651
Persistent link: https://www.econbiz.de/10014304288
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Kombinierte Aktien-, Optionsstrategien im ein- und mehrperiodigen Fall : eine theoetische und empirische Untersuchung
Adam, Michael; Adam, Michael E. H. - 2001
Persistent link: https://www.econbiz.de/10001629302
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Derivate, Arbitrage und Portfolio-Selection : stochastische Finanzmarktmodelle und ihre Anwendungen
Hausmann, Wilfried; Diener, Kathrin; Käsler, Joachim - 2002 - 1. Auflage
Persistent link: https://www.econbiz.de/10014012257
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Option pricing and hedging under a stochastic volatility Lévy process model
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10009627431
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On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro - In: Journal of mathematical finance 5 (2015) 2, pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
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A quadratic hedging approach to comparison of catastrophe indices
Norberg, Ragnar; Savina, Oksana - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10009624461