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Option valuation with liquidity risk and jumps

Zhang, Hai; Ku, Hyejin - In: Applied economics letters 25 (2018) 6, pp. 381-387

Persistent link: https://www.econbiz.de/10011854549

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

Finite difference methods for the non-linear Black-Scholes-Barenblatt equation

Budke, Albrecht - 2013

Persistent link: https://www.econbiz.de/10010528523

American option pricing under the double Heston model based on asymptotic expansion

Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226

Persistent link: https://www.econbiz.de/10012194649

Approximate pricing of American exchange options with jumps

Lian, Guanghua; Elliott, Robert J.; Kalev, Petko S.; … - In: The journal of futures markets 42 (2022) 6, pp. 983-1001

Persistent link: https://www.econbiz.de/10013287907

Option prices in the equity, index and commodity markets : the "message from markets"

Ronn, Ehud I. - In: Options - 45 years since the publication of the …, (pp. 433-449). 2023

Persistent link: https://www.econbiz.de/10014366690

Jump spillovers in energy futures markets : implications for diversification benefits

Liu, Qingfu; Tu, Anthony H. - In: Energy economics 34 (2012) 5, pp. 1447-1464

Persistent link: https://www.econbiz.de/10009688077

Day-of-the-week and jump effects in international investment sentiment indices

Lee, Yen-Hsien - In: Investment management and financial innovations 11 (2014) 2, pp. 60-68

Persistent link: https://www.econbiz.de/10010392833

Semi-analytical pricing of currency options in the Heston/CIR jump-diffusion hybrid model

Ahlip, Rehez; Rutkowski, Marek - In: Applied mathematical finance 22 (2015) 1/2, pp. 1-27

Persistent link: https://www.econbiz.de/10010505183

Evaluation of variable annuity guarantees with the effect of jumps in the asset price process

Juma, Mussa; Lee, Min Cherng; Chin, Seong Tah; Liew, … - In: Cogent economics & finance 5 (2017) 1, pp. 1-17

Financial crisis in 2007–2008 have caused losses to life insurance companies issuing variable annuities with guarantees. This is partly due to failure of variable annuity (VA) issuers to anticipate the large variations in asset prices during the financial crisis times in their pricing...

Persistent link: https://www.econbiz.de/10011881290