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COMPUTING BOUNDS ON RISK-NEUTR...
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ECONIS (ZBW)
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First order solutions in conic programming
Dür, Mirjam
;
Jargalsaikhan, Bolor
;
Still, Georg
- In:
Mathematical methods of operations research
82
(
2015
)
2
,
pp. 123-142
Persistent link: https://www.econbiz.de/10011374642
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2
Generalized corner optimal solution for LSIP : existence and numerical computation
Liu, Yanqun
- In:
Top : transactions in operations research
24
(
2016
)
1
,
pp. 19-43
Persistent link: https://www.econbiz.de/10011670099
Saved in:
3
Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert
;
Stoev, Stilian
;
Cooley, Daniel
- In:
Insurance / Mathematics & economics
92
(
2020
),
pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
Saved in:
4
Sensitivities and hedging of the collateral choice option
Deelstra, Griselda
;
Grzelak, Lech A.
;
Wolf, Felix Lukas
- In:
International journal of theoretical and applied …
25
(
2022
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10014235062
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5
Static hedging of standard options
Carr, Peter
;
Wu, Liuren
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 3-46
Persistent link: https://www.econbiz.de/10010233614
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6
Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, João Pedro
;
Dias, José Carlos
;
Nunes, Joaõ …
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4059-4072
Persistent link: https://www.econbiz.de/10010244898
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7
First-order calculus and option pricing
Carr, Peter
- In:
Journal of financial engineering
1
(
2014
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010508100
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8
Systematic mortality risk : an analysis of guaranteed lifetime withdrawal benefits in variable annuities
Fung, Man Chung
;
Ignatieva, Ekaterina
;
Sherris, Michael
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 103-115
Persistent link: https://www.econbiz.de/10010437618
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9
Pricing and static hedging of American-style knock-in options on defaultable stocks
Nunes, Joaõ Pedro Vidal
;
Ruas, João Pedro
;
Dias, …
- In:
Journal of banking & finance
58
(
2015
),
pp. 343-360
Persistent link: https://www.econbiz.de/10011544015
Saved in:
10
Robust price bounds for the forward starting straddle
Hobson, David G.
;
Klimmek, Martin
- In:
Finance and stochastics
19
(
2015
)
1
,
pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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