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Futures Cross-Hedging with a Stationary Basis
Ankirchner, Stefan; Dimitroff, Georgi; Heyne, Gregor; … - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1361-1360
Persistent link: https://www.econbiz.de/10010100813
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A reduced form model for ESO valuation
Szimayer, Alexander - In: Mathematical methods of operations research 59 (2004) 1, pp. 111-128
Persistent link: https://www.econbiz.de/10006611065
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The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
Li, Jing; Szimayer, Alexander - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 471-487
Persistent link: https://www.econbiz.de/10009807374
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Abhandlungen - Alternative Model Specifications for Implied Volatility Measured by the German VDAX
Wagner, Niklas; Szimayer, Alexander - In: Kredit und Kapital 34 (2001) 4, pp. 590-618
Persistent link: https://www.econbiz.de/10007483927
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PRICING AMERICAN OPTIONS IN THE HESTON MODEL: A Close Look at Incorporating Correlation
Ruckdeschel, Peter; Sayer, Tilman; Szimayer, Alexander - In: The journal of derivatives : the official publication … 20 (2013) 3, pp. 9-30
Persistent link: https://www.econbiz.de/10010094067
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Work effort, consumption, and portfolio selection: when the occupational choice matters
Desmettre, Sascha; Szimayer, Alexander - In: Mathematical methods of operations research 74 (2011) 1, pp. 121-146
Persistent link: https://www.econbiz.de/10009251613
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Own-company stockholding and work effort preferences of an unconstrained executive
Desmettre, Sascha; Gould, John; Szimayer, Alexander - In: Mathematical methods of operations research 72 (2010) 3, pp. 347-379
Persistent link: https://www.econbiz.de/10008721066