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Multivariate digital options with memory
Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660
Persistent link: https://www.econbiz.de/10009509839
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Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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Pricing option contracts on the strategic petroleum reserve
Murphy, Frederic H.; Oliveira, Fernando S. - In: Energy economics 40 (2013), pp. 242-250
Persistent link: https://www.econbiz.de/10010349565
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Market-consistent modeling for cap-and-trade schemes and application to option pricing
Barrieu, Pauline; Fehr, Max - In: Operations research 62 (2014) 2, pp. 234-249
Persistent link: https://www.econbiz.de/10010361477
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Randomised mixture models for pricing kernels
Macrina, Andrea; Parbhoo, Priyanka A. - In: Asia-Pacific financial markets 21 (2014) 4, pp. 281-315
Persistent link: https://www.econbiz.de/10010511573
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Heat kernel models for asset pricing
Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34
Persistent link: https://www.econbiz.de/10010498834
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Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
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Polynomial approximation of discounted moments
Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - In: Finance and stochastics 29 (2025) 1, pp. 63-95
Persistent link: https://www.econbiz.de/10015394774