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Static hedging of Asian options under Lévy models : the comonotonicity approach

Albrecher, Hansjörg; Dhaene, Jan; Goovaerts, Marc J.; … - 2003

Persistent link: https://www.econbiz.de/10001938553

An accurate analytical approximation for the price of a European-style arithmetic Asian option

Vyncke, David; Goovaerts, Marc J.; Dhaene, Jan - 2003

Persistent link: https://www.econbiz.de/10001769796

On the distribution of cash flows using Esscher transforms

Vyncke, David; Goovaerts, Marc J.; De Schepper, Ann; … - In: The journal of risk and insurance : the journal of the … 70 (2003) 3, pp. 563-575

Persistent link: https://www.econbiz.de/10001787185

A recursive approach to mortality-linked derivative pricing

Shang, Zhaoning; Goovaerts, Marc J.; Dhaene, Jan - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 240-248

Persistent link: https://www.econbiz.de/10009242028

Pricing exotic options under local volatility

Decamps, Marc; Goovaerts, Marc J.; De Schepper, Ann - In: Tijdschrift voor economie en management 50 (2005) 1, pp. 49-67

Persistent link: https://www.econbiz.de/10002749078

Pricing of Parisian options for a jump-diffusion model with two-sided jumps

Albrecher, Hansjörg; Kortschak, Dominik; Zhou, Xiaowen - In: Applied mathematical finance 19 (2012) 1/2, pp. 97-129

Persistent link: https://www.econbiz.de/10009561239

Option Prices and Model-Free Measurement of Implied Herd Behavior in Stock Markets

Linders, Daniël - 2014

In this paper, we introduce two classes of indices which can be used to measure the market perception concerning the degree of dependency that exists between a set of random variables, representing different stock prices at a fixed future date. The construction of these measures is based on the...

Persistent link: https://www.econbiz.de/10013039909

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - This version: December 20, 2014

Persistent link: https://www.econbiz.de/10010464790

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - 2015 - Version: December 19, 2014

Persistent link: https://www.econbiz.de/10011418887

Option prices and model-free measurement of implied herd behavior in stock markets

Linders, Daniël; Dhaene, Jan; Schoutens, Wim - In: International journal of financial engineering 2 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011333475