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Options on non-flexible currencies
Jennergren, Lars Peter; Näslund, Bertil - 1990
Persistent link: https://www.econbiz.de/10000798656
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Capital ideas and market realities : option replication, investor behavior, and stock market crashes
Jacobs, Bruce I. - 1999 - 1. publ.
Persistent link: https://www.econbiz.de/10000683220
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Options, futures, and other derivative securities
Hull, John - 1989
Persistent link: https://www.econbiz.de/10000083643
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Analytische Auswertung und Steuerung von Optionspositionen
Möller, Matthias - 1997
Persistent link: https://www.econbiz.de/10000958452
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The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance
An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130
Persistent link: https://www.econbiz.de/10003647668
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A moments and strike matching binominal algorithm for pricing American put options
Jourdain, Benjamin; Zanette, Antonino - In: Decisions in economics and finance : DEF ; a journal of … 31 (2008) 1, pp. 33-49
Persistent link: https://www.econbiz.de/10003771585
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Barrier option hedging under constraints : a viscosity approach
Bentahar, Imen (contributor); Bouchard, Bruno (contributor) - 2006
context of a Brownian diffusion model, we provide a PDE characterization of the super-hedging price. This extends the result …, and provides a natural numerical procedure for computing the corresponding super-hedging price. As a by-product, we obtain …
Persistent link: https://www.econbiz.de/10003324353
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Pricing and hedging American barrier options by a modified binomial method
Gaudenzi, Marcellino; Lepellere, Maria Antonietta - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 533-553
Persistent link: https://www.econbiz.de/10003347387
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The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo - In: Review of derivatives research 11 (2008) 3, pp. 205-244
Persistent link: https://www.econbiz.de/10003835031
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Does hedging with implied volatility factors improve the hedging efficiency of barrier options?
Borak, Szymon; Fengler, Matthias R.; Härdle, Wolfgang - In: The journal of risk model validation 3 (2009/10) 1, pp. 73-92
Persistent link: https://www.econbiz.de/10003848886