Narrow search
Showing 1 - 10 of 47
Cover Image
Endogenous trading in credit default swaps
Chesney, Marc; Coculescu, Delia; Gökay, Selim - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011451640
Cover Image
The pricing of lookback options and binomial approximation
Grosse-Erdmann, Karl-Goswin; Heuwelyckx, Fabien - In: Decisions in economics and finance : DEF ; a journal of … 39 (2016) 1, pp. 33-67
Persistent link: https://www.econbiz.de/10011451641
Cover Image
Weighted average price in the Heston stochastic volatility model
Papi, Marco; Pontecorvi, Luca; Donatucci, Cristina - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 351-373
Persistent link: https://www.econbiz.de/10011997757
Cover Image
Fast and accurate calculation of American option prices
Ballestra, Luca Vincenzo - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 2, pp. 399-426
Persistent link: https://www.econbiz.de/10011997949
Cover Image
Sense, nonsense and the S&P500
Rogers, Leonard C. G. - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 2, pp. 447-461
Persistent link: https://www.econbiz.de/10011997958
Cover Image
Variable annuities with a threshold fee : valuation, numerical implementation and comparative static analysis
Bacinello, Anna Rita; Zoccolan, Ivan - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 21-49
Persistent link: https://www.econbiz.de/10012065156
Cover Image
A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Vilar Zanón, José Luis; Peraita‑Ezcurra, Olivia - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 259-276
Persistent link: https://www.econbiz.de/10012065216
Cover Image
Volatility and volatility-linked derivatives : estimation,modeling, and pricing
Alòs, Elisa; Mancino, Maria Elvira; Wang, Tai-Ho - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 321-349
Persistent link: https://www.econbiz.de/10012127219
Cover Image
From volatility smiles to the volatility of volatility
Dumas, Bernard; Luciano, Elisa - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 387-406
Persistent link: https://www.econbiz.de/10012127226
Cover Image
On parameter estimation of Heston's stochastic volatilitymodel : a polynomial filtering method
Cacace, Filippo; Germani, Alfredo; Papi, Marco - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 503-525
Persistent link: https://www.econbiz.de/10012127257