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Option pricing via QUAD : from Black-Scholes-Merton to Heston with jumps
Su, Haozhe; Chen, Ding; Newton, David P. - In: The journal of derivatives : the official publication … 24 (2017) 3, pp. 9-27
Persistent link: https://www.econbiz.de/10011687339
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On the (almost) stochastic dominance of cryptocurrency factor portfolios and implications for cryptocurrency asset pricing
Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - In: European financial management : the journal of the … 30 (2024) 3, pp. 1125-1164
Persistent link: https://www.econbiz.de/10014574015
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On the (Almost) Stochastic Dominance of Cryptocurrency Factor Portfolios & Implications for Cryptocurrency Asset Pricing
Han, Weihao; Newton, David P.; Platanakis, Emmanouil; … - 2022
Cryptocurrency returns are highly non-normal, casting doubt on the standard performance metrics. We apply almost stochastic dominance (ASD), which does not require any assumption about the return distribution or degree of risk aversion. From 29 long-short cryptocurrency factor portfolios, we...
Persistent link: https://www.econbiz.de/10014088443
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Perpetual options on multiple underlyings
Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied mathematical finance 21 (2014) 1/2, pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
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A partial differential equation system for modelling stochastic storage in physical systems with applications to wind power generation
Howell, Sydney D.; Duck, Peter W.; Hazel, Andrew; … - In: IMA journal of management mathematics 22 (2011) 3, pp. 231-252
Persistent link: https://www.econbiz.de/10009297144