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Comonotonic Monte Carlo simulation and its applications in option pricing and quantification of risk
Chateauneuf, Alain; Mostoufi, Mina; Vyncke, David - In: The journal of derivatives : the official publication … 24 (2016) 1, pp. 18-28
Persistent link: https://www.econbiz.de/10011687326
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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
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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
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On the calibration of the 3/2 model
Gudmundsson, Hilmar; Vyncke, David - In: European journal of operational research : EJOR 276 (2019) 3, pp. 1178-1192
Persistent link: https://www.econbiz.de/10012003744
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The risk-neutral non-additive probability with market frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory bulletin 10 (2022) 1, pp. 13-25
Persistent link: https://www.econbiz.de/10013262870
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Put-Call parities, absence of arbitrage opportunities, and nonlinear pricing rules
Bastianello, Lorenzo; Chateauneuf, Alain; Cornet, Bernard - In: Mathematical finance : an international journal of … 34 (2024) 4, pp. 1242-1262
Persistent link: https://www.econbiz.de/10015149385