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Pricing vulnerable options with stochastic volatility and stochastic interest rate
Ma, Chaoqun; Yue, Shengjie; Wu, Hui; Ma, Yong - In: Computational economics 56 (2020) 2, pp. 391-429
Persistent link: https://www.econbiz.de/10012272041
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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
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Joining the Heston and a three-factor short rate model : a closed-form approach
Horsky, Roman; Sayer, Tilman - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-17
Persistent link: https://www.econbiz.de/10011419421
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On the Heston model with stochastic volatility : analytic solutions and complete markets
Alziary, Bénédicte; Takáč, Peter - 2017
Persistent link: https://www.econbiz.de/10012265761
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Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
Harcourt, Darcy; Daglish, Toby; Ulm, Eric R. - In: Insurance : mathematics and economics 118 (2024), pp. 59-71
Persistent link: https://www.econbiz.de/10015067006
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On local times : application to pricing using bid-ask
Kettler, Paul C.; Menoukeu-Pamen, Olivier; Proske, Frank - In: Journal of mathematical finance 4 (2014) 2, pp. 84-94
Persistent link: https://www.econbiz.de/10010380910
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Comment on: limit of random measures associated with the increments of a Brownian Semimartingale : asymptotic behavior of local times related statistics for fractional Brownian mot...
Podolskij, Mark; Rosenbaum, Mathieu - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 588-598
Persistent link: https://www.econbiz.de/10011987969
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A forward equation for computing derivatives exposure
Lapeyre, Bernard; Taarit, Marouan Iben - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10012019832
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Revisiting variance gamma pricing : an application to S&P500 index options
Mozumder, Sharif; Sorwar, Ghulam; Dowd, Kevin - In: International journal of financial engineering 2 (2015) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
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Pricing annuity guarantees under a double regime-switching model
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011312087