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On Carr and Lee's correlation immunization strategy
LIn, Jimin; Lorig, Matthew - In: Applied mathematical finance 26 (2019) 2, pp. 131-152
Persistent link: https://www.econbiz.de/10012210265
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Semi-robust replication of barrier-style claims on price and volatility
Carr, Peter; Lee, Roger; Lorig, Matthew - In: Applied mathematical finance 28 (2021) 6, pp. 534-559
Persistent link: https://www.econbiz.de/10013411770
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On regularized optimal execution problems and their singular limits
Souza, Max O.; Thamsten, Y. - In: Applied mathematical finance 29 (2022) 2, pp. 79-109
Persistent link: https://www.econbiz.de/10013554788
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The impact of stochastic volatility on initial margin and MVA for interest rate derivatives
Hoencamp, J. H.; Kort, J. P. de; Kandhai, B. D. - In: Applied mathematical finance 29 (2022) 2, pp. 141-179
Persistent link: https://www.econbiz.de/10013554796
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On the skew and curvature of the implied and local volatilities
Alòs, Elisa; García Lorite, David; Pravosud, Makar - In: Applied mathematical finance 30 (2023) 1, pp. 47-67
Persistent link: https://www.econbiz.de/10014390289
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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Local volatility pricing models for long-dated FX derivatives
Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402
Persistent link: https://www.econbiz.de/10010187656
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Exotic geometric average options pricing under stochastic volatility
Tahani, Nabil - In: Applied mathematical finance 20 (2013) 3/4, pp. 229-245
Persistent link: https://www.econbiz.de/10010187667
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Implied volatility of leveraged ETF options
Leung, Tim; Sircar, Kaushik Ronnie - In: Applied mathematical finance 22 (2015) 1/2, pp. 162-188
Persistent link: https://www.econbiz.de/10010505139
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Closed-form pricing of two-asset barrier options with stochastic covariance
Götz, Barbara; Escobar, Marcos; Zagst, Rudi - In: Applied mathematical finance 21 (2014) 3/4, pp. 363-397
Persistent link: https://www.econbiz.de/10010499671