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Option pricing and Esscher transform under regime switching
Elliott, Robert J.; Chan, Leunglung; Siu, Tak Kuen - In: Annals of finance 1 (2005) 4, pp. 423-432
Persistent link: https://www.econbiz.de/10003090579
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American options: the EPV pricing model
Bojarčenko, Svetlana I.; Levendorskiǐ, Sergei - In: Annals of finance 1 (2005) 3, pp. 267-292
Persistent link: https://www.econbiz.de/10003014356
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The no-arbitrage pricing of non-traded assets
Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418
Persistent link: https://www.econbiz.de/10014380572
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Option pricing under a Gamma-modulated diffusion process
Iglesias, Pilar; San Martín, Jaime; Torres, Soledad; … - In: Annals of finance 7 (2011) 2, pp. 199-219
Persistent link: https://www.econbiz.de/10009130245
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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
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Negative call prices
Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794
Persistent link: https://www.econbiz.de/10010196568
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Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - In: Annals of finance 9 (2013) 4, pp. 725-755
Persistent link: https://www.econbiz.de/10010196576
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Pricing and hedging basis risk under no good deal assumption
Carassus, Laurence; Temam, E. - In: Annals of finance 10 (2014) 1, pp. 127-170
Persistent link: https://www.econbiz.de/10010244570
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First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik - In: Annals of finance 9 (2013) 3, pp. 543-572
Persistent link: https://www.econbiz.de/10009776388
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Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
Fard, Farzad Alavi; Siu, Tak Kuen - In: Annals of finance 9 (2013) 3, pp. 421-438
Persistent link: https://www.econbiz.de/10009776434