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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Credit derivative valuation and parameter estimation for multi-factor affine CIR-type hazard rate model
Maboulou, Alma P. Bimbabou; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 3, pp. 273-285
Persistent link: https://www.econbiz.de/10011438513
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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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Attenuated model of pricing credit default swap under the fractional Brownian motion environment
Gu, Wenjing; Liu, Yinglin; Hao, Ruili - In: Journal of mathematical finance 6 (2016) 2, pp. 247-259
Persistent link: https://www.econbiz.de/10011543929
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On asymptotic behaviors of exponential hedging in the basis-risk model
Takino, Kazuhiro - In: Journal of mathematical finance 5 (2015) 2, pp. 212-231
Persistent link: https://www.econbiz.de/10011399011
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Randomized stopping times and early exercise for American derivatives in dry markets
Matos, João Amaro de; Lacerda, Ana - In: Journal of mathematical finance 6 (2016) 5, pp. 842-865
Persistent link: https://www.econbiz.de/10011657696
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Foreign exchange derivative pricing with stochastic correlation
Nabirye, Topilista; Ngare, Philip; Mungatu, Joseph - In: Journal of mathematical finance 6 (2016) 5, pp. 887-899
Persistent link: https://www.econbiz.de/10011658109
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A general closed form approximation pricing formula for basket and multi-asset spread options
Pellegrino, Tommaso - In: Journal of mathematical finance 6 (2016) 5, pp. 944-974
Persistent link: https://www.econbiz.de/10011658120
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Pricing credit default swap under fractional Vasicek interest rate model
Hao, Ruili; Liu, Yonghui; Wang, Shoubai - In: Journal of mathematical finance 4 (2014) 1, pp. 10-20
Persistent link: https://www.econbiz.de/10010422093
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Applying the barycentric Jacobi spectral method to price options with transaction costs in a fractional Black-Scholes framework
Nteumagné, B. F.; Pindza, E.; Maré, E. - In: Journal of mathematical finance 4 (2014) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10010422895