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Currency derivatives under a minimal market model with random scaling
Heath, David C.; Platen, Eckhard - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1157-1177
Persistent link: https://www.econbiz.de/10003280050
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Hedging swing options
Rodrı́guez, Jesús F. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 295-312
Persistent link: https://www.econbiz.de/10008992161
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Perturbation stable conditional analytic Monte-Carlo pricing scheme for auto-callable products
Fries, Christian P.; Joshi, Mark S. - In: International journal of theoretical and applied finance 14 (2011) 2, pp. 197-219
Persistent link: https://www.econbiz.de/10008992179
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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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Local risk-minimization for Lévy markets
Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10011333451
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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Continuously controlled options : derivatives with added flexibility
Dokučaev, Nikolaj G. - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10009725089
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Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
Gobet, Emmanuel; Hok, Julien - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-32
Persistent link: https://www.econbiz.de/10010363919
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Volatility derivatives and model-free implied leverage
Fukasawa, Masaaki - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10010363969
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810