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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

Derivation and application of some fractional black-scholes equations driven by fractional G-Brownian motion

Guo, Changhong; Fang, Shaomei; He, Yong - In: Computational economics 61 (2023) 4, pp. 1681-1705

Persistent link: https://www.econbiz.de/10014327122

A multi-market comparison of the intraday lead-lag relations among stock index-based spot, futures and options

Ren, Fei; Cai, Mei-Ling; Li, Sai-Ping; Xiong, Xiong; … - In: Computational economics 62 (2023) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014327153

Machine learning applications for the valuation of options on non-liquid option markets

Witzany, Jiří; Fičura, Milan - 2023

Persistent link: https://www.econbiz.de/10014249520

Estimates of derivatives of (log) densities and related objects

Pinkse, Joris; Schurter, Karl - In: Econometric theory 39 (2023) 2, pp. 321-356

Persistent link: https://www.econbiz.de/10014306313

Benchmarks for the benchmark approach to valuing long-term insurance liabilities : comment on Fergusson & Platen (2023)

Bauer, Daniel - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 208-211

Persistent link: https://www.econbiz.de/10014306953

Trading and liquidity in the catastrophe bond market

Herrmann, Markus; Hibbeln, Martin - In: The journal of risk & insurance 90 (2023) 2, pp. 283-328

Persistent link: https://www.econbiz.de/10014307543

Granular corporate hedging under dominant currency

Alfaro, Laura; Calani, Mauricio; Varela, Liliana - 2023

Persistent link: https://www.econbiz.de/10014309407

Derivative margin calls : a new driver of MMF flows

Ghio, Maddalena; Rousová, Linda; Salakhova, Dilyara; … - 2023

During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors' liquidity needs related to derivative margin payments....

Persistent link: https://www.econbiz.de/10014278618

Optimal measure preserving derivatives revisited

Beare, Brendan K. - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 370-388

Persistent link: https://www.econbiz.de/10014278673

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