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Portfolio optimisation with jumps : illustration with a pension accumulation scheme
Le Courtois, Olivier; Menoncin, Francesco - In: Journal of banking & finance 60 (2015), pp. 127-137
Persistent link: https://www.econbiz.de/10011544926
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Photovoltaic Smart Grids in the Prosumers Investment Decisions : A Real Option Model
Castellini, Marta - 2020
The digitization of power system represents one of the main instruments to achieve the target set by the European Union 2030 climate and energy Agenda of affordable energy transition. During the last years, such innovation process has been associated with the Smart Grid (SG) term. In this...
Persistent link: https://www.econbiz.de/10012843550
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An autoregressive conditional binomial option pricing model
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2000
Persistent link: https://www.econbiz.de/10001533318
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Option pricing with discrete rebalancing
Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 1999
Persistent link: https://www.econbiz.de/10001430979
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A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary
Leblanc, Boris; Renault, Olivier; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 109-111
Persistent link: https://www.econbiz.de/10001486629
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - In: Finance and stochastics 4 (2000) 1, pp. 81-93
Persistent link: https://www.econbiz.de/10001487041
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Path dependent options on yields in the affine term structure model
Leblanc, Boris; Scaillet, Olivier - 1995
Persistent link: https://www.econbiz.de/10000910562
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Convergence of discrete time option pricing models under stochastic interest rates
Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998
Persistent link: https://www.econbiz.de/10000997340
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Compound and exchange options in the affine term structure model
Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92
Persistent link: https://www.econbiz.de/10001209608
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Options on forward and futures contracts in the affine term structure model
Leblanc, Boris - In: Advances in futures and options research : a research annual 8 (1995), pp. 241-261
Persistent link: https://www.econbiz.de/10001211281