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The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
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1
Nonparametric estimates of option prices via Hermite basis functions
Marinelli, Carlo
;
D'Addona, Stefano
- In:
Annals of finance
19
(
2023
)
4
,
pp. 477-522
Persistent link: https://www.econbiz.de/10014448291
Saved in:
2
Valuation of R&D compound option using Markov chain approach
D'Amico, Guglielmo
;
Villani, Giovanni
- In:
Annals of finance
17
(
2021
)
3
,
pp. 379-404
Persistent link: https://www.econbiz.de/10012622325
Saved in:
3
Performance of advanced stock price models when it becomes exotic : an empirical study
Junike, Gero
;
Schoutens, Wim
;
Stier, Hauke
- In:
Annals of finance
18
(
2022
)
1
,
pp. 109-119
Persistent link: https://www.econbiz.de/10013194639
Saved in:
4
Options on bonds : implied volatilities from affine short-rate dynamics
Lorig, Matthew
;
Suaysom, Natchanon
- In:
Annals of finance
18
(
2022
)
2
,
pp. 183-216
Persistent link: https://www.econbiz.de/10013278980
Saved in:
5
Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
Bufalo, Michele
;
Di Bari, Antonio
;
Villani, Giovanni
- In:
Annals of finance
18
(
2022
)
2
,
pp. 247-266
Persistent link: https://www.econbiz.de/10013278984
Saved in:
6
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
7
Alternative financing instruments for African economies
Mpapalika, Jane
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 42-57
Persistent link: https://www.econbiz.de/10012545307
Saved in:
8
The barrier binary options
Gao, Min
;
Wei, Zhenfeng
- In:
Journal of mathematical finance
10
(
2020
)
1
,
pp. 140-156
Persistent link: https://www.econbiz.de/10012545572
Saved in:
9
Asian options pricing in Hawkes-type jump-diffusion models
Brignone, Riccardo
;
Sgarra, Carlo
- In:
Annals of finance
16
(
2020
)
1
,
pp. 101-119
Persistent link: https://www.econbiz.de/10012495966
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10
The British binary option
Gao, Min
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 747-762
Persistent link: https://www.econbiz.de/10012433492
Saved in:
11
Implied liquidity risk premia in option markets
Guillaume, Florence
;
Junike, Gero
;
Leoni, Peter
; …
- In:
Annals of finance
15
(
2019
)
2
,
pp. 233-246
Persistent link: https://www.econbiz.de/10012058223
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12
Risk-neutral pricing of European call options : a specious concept
Cassidy, Daniel T.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 335-348
Persistent link: https://www.econbiz.de/10011874770
Saved in:
13
The call option pricing based on investment strategy with stochastic interest rate
Zhang, Xin
;
Shu, Huisheng
;
Kan, Xiu
;
Fang, Yingyi
; …
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 43-57
Persistent link: https://www.econbiz.de/10011846108
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14
A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes
Jagannathan, Raj
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 161-177
Persistent link: https://www.econbiz.de/10011846254
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15
A simple efficient approximation to price basket stock options with volatility smile
Wu, Ping
;
Elliott, Robert J.
- In:
Annals of finance
13
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011944955
Saved in:
16
Application of fast N-body algorithm to option pricing under CGMY model
Sakuma, Takayuki
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 308-318
Persistent link: https://www.econbiz.de/10011673900
Saved in:
17
Valuation of European call options via the fast Fourier transform and the improved Mellin transform
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
Journal of mathematical finance
6
(
2016
)
2
,
pp. 338-359
Persistent link: https://www.econbiz.de/10011544533
Saved in:
18
Improved variance reduced Monte-Carlo simulation of in-the-money options
Müller, Armin
- In:
Journal of mathematical finance
6
(
2016
)
3
,
pp. 361-367
Persistent link: https://www.econbiz.de/10011583475
Saved in:
19
Pricing Asian options : a comparison of numerical and simulation approaches twenty years later
Horvath, Akos
;
Medvegyev, Peter
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 810-841
Persistent link: https://www.econbiz.de/10011657691
Saved in:
20
Foreign exchange derivative pricing with stochastic correlation
Nabirye, Topilista
;
Ngare, Philip
;
Mungatu, Joseph
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 887-899
Persistent link: https://www.econbiz.de/10011658109
Saved in:
21
A general closed form approximation pricing formula for basket and multi-asset spread options
Pellegrino, Tommaso
- In:
Journal of mathematical finance
6
(
2016
)
5
,
pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
Saved in:
22
Saddlepoint approximations to option price in a regime-switching model
Zhang, Mengzhe
;
Chan, Leunglung
- In:
Annals of finance
12
(
2016
)
1
,
pp. 55-69
Persistent link: https://www.econbiz.de/10011555421
Saved in:
23
Mellin transform method for the valuation of the American power put option with non-dividend and dividend yields
Fadugba, Sunday Emmanuel
;
Nwozo, Chuma Raphael
- In:
Journal of mathematical finance
5
(
2015
)
3
,
pp. 249-272
Persistent link: https://www.econbiz.de/10011438509
Saved in:
24
State price density estimation and nonparametric pricing of basket options
Kuang, Yuming
;
Lai, Tze Leung
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 448-456
Persistent link: https://www.econbiz.de/10011440200
Saved in:
25
Evidence on exercise pricing in CEO option grants in two countries
Canil, Jean M.
;
Rosser, Bruce A.
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 383-410
Persistent link: https://www.econbiz.de/10011459086
Saved in:
26
Bounds for path-dependent options
Brown, Donald J.
;
Ibragimov, Rustam Ju.
;
Walden, Johan
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 433-451
Persistent link: https://www.econbiz.de/10011459441
Saved in:
27
On two transform methods for the valuation of contingent claims
Nwozo, Chuma Raphael
;
Fadugba, Sunday Emmanuel
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 88-112
Persistent link: https://www.econbiz.de/10011398726
Saved in:
28
Evaluation of geometric Asian power options under fractional Brownian motion
Mao, Zhijuan
;
Liang, Zhian
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10010422095
Saved in:
29
Game Russian options for double exponential jump diffusion processes
Suzuki, Atsuo
;
Sawaki, Katsushige
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 47-54
Persistent link: https://www.econbiz.de/10010422891
Saved in:
30
Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario
;
Konsilp, Worawuth
- In:
Journal of mathematical finance
4
(
2014
)
5
,
pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
Saved in:
31
Equivalent martingale measure in Asian geometric average option pricing
Zhu, Yonggang
- In:
Journal of mathematical finance
4
(
2014
)
4
,
pp. 304-308
Persistent link: https://www.econbiz.de/10011312412
Saved in:
32
A simple generalisation of Kirk's approximation for multi-asset spread options by the Lie-Trotter operator splitting method
Lo, Chi-fai
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 178-187
Persistent link: https://www.econbiz.de/10010400107
Saved in:
33
Valuing European put options under skewness and increasing [excess] kurtosis
Chateau, Jean-Pierre D.
- In:
Journal of mathematical finance
4
(
2014
)
3
,
pp. 160-177
Persistent link: https://www.econbiz.de/10010400109
Saved in:
34
Pricing of margrabe options for large investors with application to asset-liability management in life insurance
Bølviken, Erik
;
Proske, Frank
;
Rubtsov, Mark
- In:
Journal of mathematical finance
4
(
2014
)
2
,
pp. 113-122
Persistent link: https://www.econbiz.de/10010380906
Saved in:
35
Optimal investment strategy for kinked utility maximization : covered call option strategy
Yamashita, Miwaka
- In:
Journal of mathematical finance
4
(
2014
)
2
,
pp. 55-74
Persistent link: https://www.econbiz.de/10010380912
Saved in:
36
Informed short sales and option introduction
Blau, Benjamin
- In:
Annals of finance
9
(
2013
)
3
,
pp. 365-382
Persistent link: https://www.econbiz.de/10009776477
Saved in:
37
Pension benefit security : a comparison of solvency requirements, a pension guarantee fund, and sponsor support
Broeders, Dirk
;
Chen, An
- In:
The journal of risk and insurance : the journal of the …
80
(
2013
)
2
,
pp. 239-272
Persistent link: https://www.econbiz.de/10009777292
Saved in:
38
The simulation of European call options' sensitivity based on black-scholes option formula
Cui, Yujie
;
Yu, Baoli
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 264-268
Persistent link: https://www.econbiz.de/10009711970
Saved in:
39
Closed-form approximate solutions of window barrier options with term-structure volatility and interest rates using the boundary integral method
Hsiao, Yi-long
- In:
Journal of mathematical finance
2
(
2012
)
4
,
pp. 291-302
Persistent link: https://www.econbiz.de/10009725339
Saved in:
40
The Malliavan derivate and application to pricing and hedging a European exchange options
Mataramvura, Sure
- In:
Journal of mathematical finance
2
(
2012
)
4
,
pp. 280-290
Persistent link: https://www.econbiz.de/10009725340
Saved in:
41
Adaptive wave models for sophisticated option pricing
Ivancevic, Vladimir G.
- In:
Journal of mathematical finance
1
(
2011
)
3
,
pp. 41-49
Persistent link: https://www.econbiz.de/10009668525
Saved in:
42
Maximal submarkets that replicate any option
Polyrakis, Ioannis A.
;
Xanthos, Foivos
- In:
Annals of finance
7
(
2011
)
3
,
pp. 407-423
Persistent link: https://www.econbiz.de/10009248116
Saved in:
43
Minimizing the risk of a financial product using a put option
Deelstra, Griselda
;
Vanmaele, Michèle
;
Vyncke, David
- In:
The journal of risk and insurance : the journal of the …
77
(
2010
)
4
,
pp. 767-800
Persistent link: https://www.econbiz.de/10008798298
Saved in:
44
On the cost of delayed currency fixing announcements
Becker, Christoph
;
Wystup, Uwe
- In:
Annals of finance
5
(
2009
)
2
,
pp. 161-174
Persistent link: https://www.econbiz.de/10003812515
Saved in:
45
Banking fragility and liquidity creation : options as a substitute for deposits
Wagner, Wolf
- In:
Annals of finance
5
(
2009
)
1
,
pp. 125-129
Persistent link: https://www.econbiz.de/10003775315
Saved in:
46
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
47
The pricing model for quantity contracts
Aase, Knut K.
- In:
The journal of risk and insurance : the journal of the …
71
(
2004
)
4
,
pp. 617-642
Persistent link: https://www.econbiz.de/10002514382
Saved in:
48
Life insurance liabilities at market value : an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework
Grosen, Anders
;
Løchte Jørgensen, Peter
- In:
The journal of risk and insurance : the journal of the …
69
(
2002
)
1
,
pp. 63-91
Persistent link: https://www.econbiz.de/10001671252
Saved in:
49
How financial theory applies to catastrophe-linked derivatives : an empirical test of several pricing models
Balbás de la Corte, Alejandro
;
Rodríguez Longarela, Iñaki
- In:
The journal of risk and insurance : the journal of the …
66
(
1999
)
4
,
pp. 551-582
Persistent link: https://www.econbiz.de/10001485802
Saved in:
50
Determinants of corporate hedging behavior : evidence from the life insurance industry
Colquitt, L. Lee
- In:
The journal of risk and insurance : the journal of the …
64
(
1997
)
4
,
pp. 649-671
Persistent link: https://www.econbiz.de/10001239125
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