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Polynomial diffusions and applications in finance
Filipović, Damir; Larsson, Martin - In: Finance and stochastics 20 (2016) 4, pp. 931-972
Persistent link: https://www.econbiz.de/10011570151
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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
Friesen, Martin; Karbach, Sven - In: Finance and stochastics 28 (2024) 4, pp. 1077-1116
Persistent link: https://www.econbiz.de/10015130554
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices
Brigo, Damiano; Mercurio, Fabio - In: Finance and stochastics 4 (2000) 2, pp. 147-159
Persistent link: https://www.econbiz.de/10001486694
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Superreplication in stochastic volatility models and optimal stopping
Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187
Persistent link: https://www.econbiz.de/10001486701
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93
Persistent link: https://www.econbiz.de/10001487041
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Exploding hedging errors for digital options
Gallus, Christoph - In: Finance and stochastics 3 (1999) 2, pp. 187-201
Persistent link: https://www.econbiz.de/10001367045
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Functional convergence of Snell envelopes : application to American options approximations
Mulinacci, Sabrina - In: Finance and stochastics 2 (1998) 3, pp. 311-327
Persistent link: https://www.econbiz.de/10001243268