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Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine - In: Applied mathematical finance 26 (2019) 3, pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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Pricing of spread options on a bivariate jump market and stability to model risk
Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma; … - In: Applied mathematical finance 22 (2015) 1/2, pp. 28-62
Persistent link: https://www.econbiz.de/10010505172
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Pricing occupation-time options in a mixed-exponential jump-diffusion model
Aoudia, Djilali Ait; Renaud, Jean-François - In: Applied mathematical finance 23 (2016) 1/2, pp. 1-21
Persistent link: https://www.econbiz.de/10011546980