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Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-114
Persistent link: https://www.econbiz.de/10008215730
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Discrete time hedging errors for options with irregular payoffs
Gobet, Emmanuel; Temam, Emmanuel - In: Finance and stochastics 5 (2001) 3, pp. 357-368
Persistent link: https://www.econbiz.de/10008216994
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Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
tor, Pierre; Gobet, Emmanuel - In: Applied mathematical finance 19 (2012) 3, pp. 233-265
Persistent link: https://www.econbiz.de/10009983143
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THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
Gobet, Emmanuel; Makhlouf, Azmi - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 277-310
Persistent link: https://www.econbiz.de/10009830079
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Spectral calibration of exponential Lévy models
Belomestny, Denis; Reiß, Markus - In: Finance and stochastics 10 (2006) 4, pp. 449
Persistent link: https://www.econbiz.de/10008222263
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Simplifying numerical analyses of Hamilton-Jacobi-Bellman equations
Bethmann, Dirk; Reiß, Markus - In: Journal of economics 107 (2012) 2, pp. 101-128
Persistent link: https://www.econbiz.de/10010035059
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Estimation of the characteristics of a Lévy process observed at arbitrary frequency
Kappus, Johanna; Reiß, Markus - In: Statistica Neerlandica : journal of the Netherlands … 64 (2010) 3, pp. 314-329
Persistent link: https://www.econbiz.de/10008436730