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Valuation of inflation-linked annuities in a Lévy market
Mataramvura, Sure - In: Inventi impact: emerging economies (2012) 1, pp. 48-62
Persistent link: https://www.econbiz.de/10009623013
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The economic value of volatility timing
Fleming, Jeff; Kirby, Chris; Ostdiek, Barbara - In: The journal of finance : the journal of the American … 56 (2001) 1, pp. 329-352
Persistent link: https://www.econbiz.de/10001575075
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Valuation of options on the maximum-minimum of multiple assets, discrete lookback options and equity-indexed annuities
Lin, X. Sheldon - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 95-114
Persistent link: https://www.econbiz.de/10001544326
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Pricing S&P 500 index options using a Hilbert space basis
Abken, Peter A.; Madan, Dilip B.; Ramamurtie, … - 1996
Persistent link: https://www.econbiz.de/10000983757
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Indexanleihen mit Kapitalgarantien : Darstellung, Bewertung und Analyse
Fischer, Edwin O.; Schuster, Matthias G. - In: Journal of business economics : JBE 72 (2002) 3, pp. 243-274
Persistent link: https://www.econbiz.de/10001651794
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Realzinsanleihen : Inflationsschutz für Rentenmarktinvestoren
Warncke, Jörg; Letzgus, Oliver - 2006
Persistent link: https://www.econbiz.de/10003320470
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Mandelbrot and the smile
Lehnert, Thorsten - In: Kredit und Kapital 42 (2009) 1, pp. 125-144
Persistent link: https://www.econbiz.de/10003831708
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Pricing and hedging of inflation-indexed bonds in an affine framework
Eksi, Zehra; Filipović, Damir - 2013
This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an affi ne Gaussian process. Using the underlying a ffine property, we compute the nominal and...
Persistent link: https://www.econbiz.de/10010257509
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Pricing of an index-linked swaption
Henjes, Katja - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 591
Persistent link: https://www.econbiz.de/10001524494
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Pricing inflation-indexed derivatives with default risk
Chen, Son-nan; Hsu, Pao-Peng - In: The European journal of finance 24 (2018) 15, pp. 1272-1287
Persistent link: https://www.econbiz.de/10012258889