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Semi-static hedging of barrier options under poisson jumps
Carr, Peter - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1091-1111
Persistent link: https://www.econbiz.de/10009407668
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The forward PDE for European options on stocks with fixed fractional jumps
Carr, Peter; Javaheri, Alireza - In: International journal of theoretical and applied finance 8 (2005) 2, pp. 239-253
Persistent link: https://www.econbiz.de/10002679581
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Hedging under the Heston model with jump-to-default
Carr, Peter; Schoutens, Wim - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 403-414
Persistent link: https://www.econbiz.de/10003746726
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Pairs trading of two assets with uncertainty in co-integration's level of mean reversion
Lee, Sangmin; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 19 (2016) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011686768
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Singular perturbation expansion for utility maximization with order-ϵ quadratic transaction costs
Chandra, Shiva; Papanicolaou, Andrew - In: International journal of theoretical and applied finance 22 (2019) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10012153330
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Statistics of VIX futures and applications to trading volatility exchange-traded products
Avellaneda, Marco; Papanicolaou, A. - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10012012774