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Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach
Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363
Persistent link: https://www.econbiz.de/10010357372
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Time-changed Ornstein-Uhlenbeck processes and their applications in commodity derivative models
Li, Lingfei; Linetsky, Vadim - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 289-330
Persistent link: https://www.econbiz.de/10010357373
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Estimating correlated jumps and stochastic volatilities
Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283
Persistent link: https://www.econbiz.de/10010226453
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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614
Persistent link: https://www.econbiz.de/10010227929
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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
Zhao, Hui; Rong, Ximin; Zhao, Yonggan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 504-514
Persistent link: https://www.econbiz.de/10010227974
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Static hedging of standard options
Carr, Peter; Wu, Liuren - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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Risk-neutral modeling with affine and nonaffine models
Durham, Garland B. - In: Journal of financial econometrics : official journal of … 11 (2013) 4, pp. 650-681
Persistent link: https://www.econbiz.de/10010233868
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Pricing and hedging in stochastic volatility regime switching models
Goutte, Stéphane - In: Journal of mathematical finance 3 (2013) 1, pp. 70-80
Persistent link: https://www.econbiz.de/10010240223
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Variance trading and market price of variance risk
Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97
Persistent link: https://www.econbiz.de/10010379480
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Option pricing with time-changed Lévy processes
Klingler, Sven; Kim, Young Shin; Račev, Svetlozar T.; … - In: Applied financial economics 23 (2013) 13/15, pp. 1231-1238
Persistent link: https://www.econbiz.de/10010204746