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Strict local martingale deflators and valuing American call-type options
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao - In: Finance and stochastics 16 (2012) 2, pp. 275-292
Persistent link: https://www.econbiz.de/10009839742
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A UNIFIED FRAMEWORK FOR PRICING CREDIT AND EQUITY DERIVATIVES
Bayraktar, Erhan; Yang, Bo - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 493-518
Persistent link: https://www.econbiz.de/10009014890
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Minimizing the probability of lifetime ruin under stochastic volatility
Bayraktar, Erhan; Hu, Xueying; Young, Virginia R. - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 194-207
Persistent link: https://www.econbiz.de/10009164488
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OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS
Bayraktar, Erhan; Ludkovski, Michael - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 681-702
Persistent link: https://www.econbiz.de/10009258250
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PRICING ASIAN OPTIONS FOR JUMP DIFFUSION
Bayraktar, Erhan; Xing, Hao - In: Mathematical finance : an international journal of … 21 (2011) 1, pp. 117-144
Persistent link: https://www.econbiz.de/10008770325
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Estimation of production risk and risk preference function: a nonparametric approach
Bayraktar, Erhan; Young, Virginia R. - 2010
Persistent link: https://www.econbiz.de/10008393888
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Wet- en regelgeving
Bayraktar, Erhan; Ludkovski, Michael - In: Sociale verzekering : Documentatie-orgaan van de … 55 (2010) 3, pp. 19-19
Persistent link: https://www.econbiz.de/10008393907
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Asymptotic expansions for the sojourn time distribution in the M/G/1-PS queue
Bayraktar, Erhan; Egami, Masahiko - In: Mathematical methods of operations research 71 (2010) 2, pp. 201-245
Persistent link: https://www.econbiz.de/10008395231
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Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities
Bayraktar, Erhan; Milevsky, Moshe A.; David Promislow, S.; … - In: Journal of economic dynamics & control 33 (2009) 3, pp. 676-692
Persistent link: https://www.econbiz.de/10008890118
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Minimizing the lifetime shortfall or shortfall at death
Bayraktar, Erhan; Young, Virginia R. - In: Insurance / Mathematics & economics 44 (2009) 3, pp. 447-459
Persistent link: https://www.econbiz.de/10008892105