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Pricing equity default swaps under the jump-to-default extended CEV model
Mendoza-Arriaga, Rafael; Linetsky, Vadim - In: Finance and stochastics 15 (2011) 3, pp. 513-540
Persistent link: https://www.econbiz.de/10009303137
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Optimal investment and contingent claim valuation in illiquid markets
Pennanen, Teemu - In: Finance and stochastics 18 (2014) 4, pp. 733-754
Persistent link: https://www.econbiz.de/10010413679
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Leveraging prices from credit and equity option markets for portfolio risk management
Bégin, Jean-François; Boudreault, Mathieu; … - In: The journal of futures markets 44 (2024) 1, pp. 122-147
Persistent link: https://www.econbiz.de/10014475433
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Estimating the Hurst parameter from short term volatility swaps : a Malliavin calculus approach
Alòs, Elisa; Shiraya, Kenichiro - In: Finance and stochastics 23 (2019) 2, pp. 423-447
Persistent link: https://www.econbiz.de/10012023744
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Valuation of credit default swaps and swaptions
Jamshidian, Farshid - In: Finance and stochastics 8 (2004) 3, pp. 343-371
Persistent link: https://www.econbiz.de/10002130315
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Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
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Variance swaps on time-changed Lévy processes
Carr, Peter; Lee, Roger; Wu, Liuren - In: Finance and stochastics 16 (2012) 2, pp. 335-355
Persistent link: https://www.econbiz.de/10009544664
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Capped equity swaps under the double-jump stochastic volatility model with stochastic interest rates
Guo, Jia-hau - In: The journal of futures markets 31 (2011) 4, pp. 340-370
Persistent link: https://www.econbiz.de/10008908378
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Convexity meets replication : hedging of swap derivatives and annuity options
Zheng, Wendong; Kwok, Yue-Kuen - In: The journal of futures markets 31 (2011) 7, pp. 659-678
Persistent link: https://www.econbiz.de/10009009213
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Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM
Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867
Persistent link: https://www.econbiz.de/10009779065