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Quanto pricing in stochastic correlation models

Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-20

Persistent link: https://www.econbiz.de/10011903766

The triangular model with random coefficients

Hoderlein, Stefan; Holzmann, Hajo; Meister, Alexander - In: Journal of econometrics 201 (2017) 1, pp. 144-169

Persistent link: https://www.econbiz.de/10011917439

Modification of shapley value and its implementation in decision making

Zaremba, Leszek; Zaremba, Cezary S.; Suchenek, Marek - In: Foundations of Management : the journal of Warsaw … 9 (2017) 1, pp. 257-222

The article presents a solution of a problem that is critical from a practical point of view: how to share a higher than usual discount of $10 million among 5 importers. The discount is a result of forming a coalition by 5 current, formerly competing, importers. The use of Shapley value as a...

Persistent link: https://www.econbiz.de/10011856465

Modified Stieltjes transform and generalized convolutions of probability distributions

Klebanov, Lev B.; Roozegar, Rasool - In: Journal of risk and financial management : JRFM 11 (2018) 1, pp. 1-6

The classical Stieltjes transform is modified in such a way as to generalize both Stieltjes and Fourier transforms. This transform allows the introduction of new classes of commutative and non-commutative generalized convolutions. A particular case of such a convolution for degenerate...

Persistent link: https://www.econbiz.de/10011854990

Why cannot we have a strongly consistent family of skew normal (and higher order) distributions

Thongchai Dumrongpokaphan; Kreinovich, Vladik - In: Robustness in econometrics, (pp. 69-77). 2017

Persistent link: https://www.econbiz.de/10011800956

"Tool port" to "landlord port" : a game theory approach to analyse gains from governance model transformation

Munim, Ziaul Haque; Saeed, Naima; Larsen, Odd I. - In: Maritime policy & management 46 (2019) 1, pp. 43-60

Persistent link: https://www.econbiz.de/10012209449

Embedding stochastic correlation into the pricing of FX quanto options under stochastic volatility models

Pellegrino, Tommaso - In: Journal of mathematical finance 9 (2019) 3, pp. 455-493

Persistent link: https://www.econbiz.de/10012210363

Estimation of the boundary of a variable observed with a symmetric error

Florens, Jean-Pierre; Simar, Léopold; Van Keilegom, Ingrid - 2019

Persistent link: https://www.econbiz.de/10012181242

Swing option pricing by dynamic programming with B-spline density projection

Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012183215

Alternative approach to moments of order statistics from one-parameter Weibull distribution

Rai, Piyush Kant; Sirohi, Anu - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 169-178

The Weibull distribution is used to describe various observed failures of phenomena and widely used in survival analysis and reliability theory. Sometimes it is very difficult to compute moments of such distributions due to various reasons for e.g. analytical issues, multi parameter cases etc....

Persistent link: https://www.econbiz.de/10012183576