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General equilibrium and preference free model for pricing options under transformed gamma distribution
Vitiello, Luiz; Poon, Ser-Huang - In: The journal of futures markets 30 (2010) 5, pp. 409-431
Persistent link: https://www.econbiz.de/10003962630
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Modeling and valuation of credit risk
Bielecki, Tomasz R.; Jeanblanc, Monique; Rutkowski, Marek - In: Stochastic methods in finance : lectures given at the …, (pp. 27-126). 2004
Persistent link: https://www.econbiz.de/10002526431
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Indifference pricing of defaultable claims
Bielecki, Tomasz R.; Jeanblanc, Monique - In: Indifference pricing : theory and applications, (pp. 211-240). 2009
Persistent link: https://www.econbiz.de/10003807588
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Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices
Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009725092
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Option pricing with random risk aversion
Vitiello, Luiz; Poon, Ser-Huang - In: Review of quantitative finance and accounting 58 (2022) 4, pp. 1665-1684
Persistent link: https://www.econbiz.de/10013191990
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Moneyness, underlying asset volatility, and the cross-section of option returns*
Aretz, Kevin; Lin, Ming-Tsung; Poon, Ser-Huang - In: Review of finance : journal of the European Finance … 27 (2023) 1, pp. 289-323
Persistent link: https://www.econbiz.de/10013543163