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NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS
Nicolau, João; Aït-Sahalia, Y.; Arnold, L.; Bandi, F.; … - In: Econometric theory 23 (2007) 5, pp. 880-898
Persistent link: https://www.econbiz.de/10007762702
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Smart expansion and fast calibration for jump diffusions
Benhamou, E.; Gobet, E.; Miri, M. - In: Finance and stochastics 13 (2009) 4, pp. 563-590
Persistent link: https://www.econbiz.de/10008274830
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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