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Option pricing

Kallsen, Jan - In: Handbook of financial time series, (pp. 599-613). 2009

Persistent link: https://www.econbiz.de/10003834189

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

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Pricing derivatives of American and game type in incomplete markets

Kallsen, Jan; Kühn, Christoph - In: Finance and stochastics 8 (2004) 2, pp. 261-284

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On a Heath-Jarrow-Morton approach for stock options

Kallsen, Jan; Krühner, Paul - In: Finance and stochastics 19 (2015) 3, pp. 583-615

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Approximate pricing of barrier options in Lévy models

Jahncke, Giso - 2017

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Approximate pricing of call options on the quadratic variation in Lévy models

Jahncke, Giso; Kallsen, Jan - In: Advanced modelling in mathematical finance : in honour …, (pp. 241-256). 2016

Persistent link: https://www.econbiz.de/10011800371

Representable options

Lenga, Matthias - 2017

Persistent link: https://www.econbiz.de/10012613284

A semilinear Black and Scholes partial differential equation for valuing American options

Benth, Fred Espen; Karlsen, Kenneth H.; Reikvam, Kristin - In: Finance and stochastics 7 (2003) 3, pp. 277-298

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Quasi Monte-Carlo evaluation of sensitivities of options in commodity and energy markets

Benth, Fred Espen; Dahl, Lars O.; Hvistendahl Karlsen, … - In: International journal of theoretical and applied finance 6 (2003) 8, pp. 865-884

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'Preface to' Stochastic Modeling of Electricity and Related Markets

Benth, Fred Espen - 2009

The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is...

Persistent link: https://www.econbiz.de/10013156505