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Hedging in nonlinear models of illiquid financial markets

Sah, Nadim - 2014

Persistent link: https://www.econbiz.de/10010532759

Local risk-minimization for Lévy markets

Arai, Takuji; Suzuki, Ryoichi - In: International journal of financial engineering 2 (2015) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011333451

Commodity derivatives pricing with cointegration and stochastic covariances

Chiu, Mei Choi; Wong, Hoi Ying; Zhao, Jing - In: European journal of operational research : EJOR 246 (2015) 2, pp. 476-486

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A cautionary note on the put-call parity under an asset pricing model with a lower reflecting barrier

Hertrich, Markus - In: Swiss journal of economics and statistics 151 (2015) 3, pp. 227-260

The put-call parity is free from distributional assumptions. It is tempting to assume that this parity also holds when an asset pricing model includes reflecting barriers. This paper shows that in the case of geometric Brownian motion with reflection such barriers cause the standard put-call...

Persistent link: https://www.econbiz.de/10011341666

Electricity futures price modeling with Lévy term structure models

Biagini, Francesca; Bregman, Julia; Meyer-Brandis, Thilo - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10011403170

Pricing two-asset barrier options under stochastic correlation via perturbation

Escobar, Marcos; Götz, Barbara; Neykova, Daniela; … - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-44

Persistent link: https://www.econbiz.de/10011403748

Approximate hedging of options under jump-diffusion processes

Mina, Karl Friedrich; Cheang, Gerald H. L.; Chiarella, Carl - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011403772

Finite element based Monte Carlo simulation of options on Lévy driven assets

Karlsson, Patrik - In: International journal of financial engineering 5 (2018) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011922968

LIBOR market model with multiplicative basis

Zhong, Yangfan - In: International journal of financial engineering 5 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011923001

Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis

Zhong, Yangfan; Mi, Yanhui - In: International journal of financial engineering 5 (2018) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011923038