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  • Search: subject:"Maturity randomization"
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Year of publication
Subject
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Option pricing theory 7 Optionspreistheorie 7 Stochastic process 6 Stochastischer Prozess 6 Option trading 4 Optionsgeschäft 4 Maturity randomization 3 maturity randomization 3 American options 2 Search theory 2 Suchtheorie 2 Aktienoption 1 American option 1 American-Type Options 1 Early exercise premium 1 Embedded guarantees 1 Employee stock options 1 Finanzmathematik 1 Fourier transform 1 Geometric Step Options 1 Hedging 1 Heston model 1 Hyper-exponential jump-diffusion model 1 Jump-Diffusion Disentanglement 1 Jump-diffusion disentanglement 1 Laplace transform 1 Lebensversicherung 1 Life insurance 1 Lévy Markets 1 Lévy processes 1 Mathematical finance 1 Maturity-Randomization 1 Move-based hedging 1 Optimal multiple stopping 1 Portfolio selection 1 Portfolio-Management 1 Private Altersvorsorge 1 Private retirement provision 1 Real options analysis 1 Realoptionsansatz 1
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Online availability
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Undetermined 5 Free 2
Type of publication
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Article 6 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 8
Author
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Leippold, Markus 2 Leung, Tim 2 Mathys, Ludovic 2 Vasiljević, Nikola 2 Farkas, Walter 1 Huh, Jeonggyu 1 Jeon, Junkee 1 Lin, X. Sheldon 1 Park, Kyunghyun 1 Wang, Xiao 1 Wu, Panpan 1 Yamazaki, Kazutoshi 1 Zhang, Hongzhong 1 Zhou, Yang 1
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Published in...
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International journal of theoretical and applied finance 2 Research paper series / Swiss Finance Institute 2 Swiss Finance Institute Research Paper 2 Computational economics 1 Insurance / Mathematics & economics 1 Journal of banking & finance 1 Quantitative finance and economics 1
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Source
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ECONIS (ZBW) 8
Showing 1 - 8 of 8
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Valuing tradeability in exponential Lévy models
Mathys, Ludovic - In: Quantitative finance and economics 4 (2020) 3, pp. 459-488
Persistent link: https://www.econbiz.de/10012271474
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Geometric step options with jumps : parity relations, PIDEs, and semi-analytical pricing
Farkas, Walter; Mathys, Ludovic - 2020
The present article studies geometric step options in exponential Lévy markets. Our contribution is manifold and extends several aspects of the geometric step option pricing literature. First, we provide symmetry and parity relations and derive various characterizations for both European-type...
Persistent link: https://www.econbiz.de/10012181323
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A top-down approach for the multiple exercises and valuation of employee stock options
Leung, Tim; Zhou, Yang - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10012270937
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An analytic approximation for valuation of the American option under the Heston model in two regimes
Jeon, Junkee; Huh, Jeonggyu; Park, Kyunghyun - In: Computational economics 56 (2020) 2, pp. 499-528
Persistent link: https://www.econbiz.de/10012272044
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljević, Nikola - In: Journal of banking & finance 77 (2017), pp. 78-94
Persistent link: https://www.econbiz.de/10011814354
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Move-based hedging of variable annuities : a semi-analytic approach
Lin, X. Sheldon; Wu, Panpan; Wang, Xiao - In: Insurance / Mathematics & economics 71 (2016), pp. 40-49
Persistent link: https://www.econbiz.de/10011630601
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljević, Nikola - 2015
following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound …
Persistent link: https://www.econbiz.de/10011293508
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An analytic recursive method for optimal multiple stopping : Canadization and phase-type fitting
Leung, Tim; Yamazaki, Kazutoshi; Zhang, Hongzhong - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10011403875
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