Search Results - subject:"Arbitrage-Free Pricing"

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Pricing of contingent claims in large markets

Mostovyi, Oleksii; Siorpaes, Pietro - In: Finance and stochastics 29 (2025) 1, pp. 177-217

Persistent link: https://www.econbiz.de/10015394781

A linkage between the financial and the real economy

Rey, Sebastián Alejandro - In: Annals of financial economics 17 (2022) 3, pp. 1-33

Persistent link: https://www.econbiz.de/10013367641

Arbitrage-free relative Nelson-Siegel model

Ishii, Hokuto - In: Finance research letters 37 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012484986

A general class of distortion operators for pricing contingent claims with applications to CAT bonds

Godin, Frédéric; Lai, Van Son; Trottier, Denis-Alexandre - In: Scandinavian actuarial journal 2019 (2019) 7, pp. 558-584

Persistent link: https://www.econbiz.de/10012194976

Pricing cross-currency interest rate swaps under the Levy market model

Wang, Ming-Chieh; Huang, Li-Jhang - In: Review of derivatives research 22 (2019) 2, pp. 329-355

Persistent link: https://www.econbiz.de/10012311817

Pricing Onion Options: A Probabilistic Approach

Upmann, Thorsten - In: International Journal of Financial Research 4 (2013) 4, pp. 11-25

options (ODBs). Using this idea, these authors provide an arbitrage-free pricing formula for Onion options within the Black …

Persistent link: https://www.econbiz.de/10011267650

Derivative pricing with collateralization and FX market dislocations

Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27

Persistent link: https://www.econbiz.de/10011734332

Arbitrage-free pricing of multi-person game claims in discrete time

Guo, Ivan; Rutkowski, Marek - In: Finance and stochastics 21 (2017) 1, pp. 111-155

Persistent link: https://www.econbiz.de/10011944066

Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment

Siddiqi, Hammad - Volkswirtschaftliche Fakultät, … - 2009

test this hypothesis in an experiment on financial options against the benchmark of arbitrage-free pricing. Firstly, we …

Persistent link: https://www.econbiz.de/10005619287

Which Method for Pricing Weather Derivatives ?

Hamisultane, Hélène - HAL - 2008

Since the introduction of the first weather derivative in the United-States in 1997, a significant number of work was directed towards the pricing of this product and the modelling of the daily average temperature which characterizes most of the traded weather instruments. The weather...

Persistent link: https://www.econbiz.de/10008793721

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