Narrow search
Showing 131 - 140 of 84,922
Cover Image
Valuation of standard call options using the Euler-Maruyama method with strong approximation
Suescún-Díaz, Daniel; Girón, Luis Eduardo - In: Computational economics 61 (2023) 4, pp. 1545-1560
Persistent link: https://www.econbiz.de/10014327069
Cover Image
Hedging option books using neural-sde market models
Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 29 (2022) 5, pp. 366-401
Persistent link: https://www.econbiz.de/10014323483
Cover Image
A hybrid stochastic volatility model in a Lévy market
El-Khatib, Youssef; Goutte, Stéphane; Makumbe, Zororo S.; … - In: International review of economics & finance : IREF 85 (2023), pp. 220-235
Persistent link: https://www.econbiz.de/10014424191
Cover Image
Fractional Brownian motion in option pricing and dynamic delta hedging : experimental simulations
Dufera, Tamirat Temesgen - In: The North American journal of economics and finance : a … 69 (2024) 2, pp. 1-13
Persistent link: https://www.econbiz.de/10014445631
Cover Image
Simulating theta and gamma of American options
Nguyen, P. A.; Mitchell, Daniel - In: The journal of derivatives : JOD 30 (2023) 4, pp. 74-90
Persistent link: https://www.econbiz.de/10014306876
Cover Image
Simulation Techniques in Financial Risk Management
Chan, Ngai Hang - 2015 - 2nd ed.
Praise for the First Edition "…a nice, self-contained introduction to simulation and computational techniques in … finance…" - Mathematical Reviews Simulation Techniques in Financial Risk Management, Second Edition takes a unique approach to … understanding Extensive use of examples to illustrate how to use simulation techniques in risk management Practical case studies …
Persistent link: https://www.econbiz.de/10012686803
Cover Image
R-Minimizing Hedging in an Incomplete Market : Malliavin Calculus Approach
Xiao, Yajun - 2011
In this paper we derive the locally risk-minimizing hedging for a general contingent claim in an incomplete market via the generalized Clark-Ocone formula. Using this result in a stochastic volatility model, we study its connection with the hedge obtained via PDE approach. We see these hedging...
Persistent link: https://www.econbiz.de/10013134720
Cover Image
Nonlocal Diffusions and the Quantum Black-Scholes Equation : Modelling the Market Fear Factor
Hicks, William - 2018
enables the application of the Monte-Carlo methods adapted to McKean stochastic differential equations for the simulation of …
Persistent link: https://www.econbiz.de/10012916849
Cover Image
Estimating the cost of executive stock options : evidence from Switzerland
Drobetz, Wolfgang (contributor); Pensa, Pascal (contributor) - 2007
It is often argued that Black-Scholes (1973) values overstate the subjective value of stock options granted to risk-averse and under-diversified executives. We construct a "representative" Swiss executive and extend the certainty- equivalence approach presented by Hall and Murphy (2002) to...
Persistent link: https://www.econbiz.de/10003666884
Cover Image
Strategic asset valuation and higher stochastic moments : an adjusted black-scholes model
Milanesi, Gastón; Pesce, Gabriela; El Alabi, Emilio - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 95-106
Persistent link: https://www.econbiz.de/10011392906