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Exchange option pricing under variance gamma-like models
Gardini, Matteo; Sabino, Piergiacomo - In: Applied mathematical finance 29 (2022) 6, pp. 494-521
Persistent link: https://www.econbiz.de/10014390283
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Counterparty credit limits : the impact of a risk-mitigation measure on everyday trading
Gould, Martin; Hautsch, Nikolaus; Howison, Sam; Porter, … - In: Applied mathematical finance 27 (2020) 6, pp. 520-548
Persistent link: https://www.econbiz.de/10012516170
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Rare shock, two-factor stochastic volatility and currency option pricing
Wang, Guanying; Wang, Xingchun; Wang, Yongjin - In: Applied mathematical finance 21 (2014) 1/2, pp. 32-50
Persistent link: https://www.econbiz.de/10010351858
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An E-ARCH model for the term structure of implied volatility of FX options
Zhu, Yingzi - In: Applied mathematical finance 4 (1997) 2, pp. 81-100
Persistent link: https://www.econbiz.de/10001226702
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Pricing American currency options in an exponential Lévy model
Chesney, Marc; Jeanblanc, Monique - In: Applied mathematical finance 11 (2004) 3, pp. 207-225
Persistent link: https://www.econbiz.de/10002243475
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Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model
Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27
Persistent link: https://www.econbiz.de/10010505183
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A systematic approach to pricing and hedging international derivatives with interest rate risk : analysis of international derivatives under stochastic interest rates
Frey, Rüdiger - In: Applied mathematical finance 3 (1996) 4, pp. 295-317
Persistent link: https://www.econbiz.de/10001217786
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Optimal market making in the foreign exchange market
Veraart, Luitgard A. M. - In: Applied mathematical finance 17 (2010) 3/4, pp. 359-372
Persistent link: https://www.econbiz.de/10008653252
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Non-Linear interactions and exchange rate prediction : empirical evidence using support vector regression
Peng, Yaohao; Albuquerque, Pedro H. - In: Applied mathematical finance 26 (2019) 1, pp. 69-100
Persistent link: https://www.econbiz.de/10012210260
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Valuation and hedging of contingent claims in the HJM model with deterministic volatilities
Rutkowski, Marek - In: Applied mathematical finance 3 (1996) 3, pp. 237-267
Persistent link: https://www.econbiz.de/10001217776