Narrow search
Showing 1 - 10 of 44
Cover Image
On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
Cover Image
Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés; Población, Javier; Serna, … - In: Review of derivatives research 18 (2015) 1, pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
Cover Image
The valuation and information content of options on crude-oil futures contracts
Murphy, Finbarr; Ronn, Ehud I. - In: Review of derivatives research 18 (2015) 2, pp. 95-106
Persistent link: https://www.econbiz.de/10011477287
Cover Image
Efficiently pricing double barrier derivatives in stochastic volatility models
Escobar, Marcos; Hieber, Peter; Scherer, Matthias - In: Review of derivatives research 17 (2014) 2, pp. 191-216
Persistent link: https://www.econbiz.de/10010529630
Cover Image
Time consistent pricing of options with embedded decisions
Dorfleitner, Gregor; Gerer, Johannes - In: Review of derivatives research 23 (2020) 1, pp. 85-119
Persistent link: https://www.econbiz.de/10012229784
Cover Image
Approaching rainfall-based weather derivatives pricing and operational challenges
Martínez Salgueiro, Andrea; Tarrazón Rodón, … - In: Review of derivatives research 23 (2020) 2, pp. 163-190
Persistent link: https://www.econbiz.de/10012229790
Cover Image
Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
Torricelli, Lorenzo - In: Review of derivatives research 19 (2016) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10011742279
Cover Image
Credit valuation adjustment of cap and floor with counterparty risk : a structural pricing model for vulnerable European options
Kao, Lie-Jane - In: Review of derivatives research 19 (2016) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10011742280
Cover Image
Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?
Romo, Jacinto Marabel - In: Review of derivatives research 19 (2016) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10011742281
Cover Image
A four-factor stochastic volatility model of commodity prices
Schöne, Max F.; Spinler, Stefan - In: Review of derivatives research 20 (2017) 2, pp. 135-165
Persistent link: https://www.econbiz.de/10011935975