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Portfolio optimization for American options

Zeng, Yaxiong; Klabjan, Diego - In: The journal of computational finance 22 (2018) 3, pp. 37-64

Persistent link: https://www.econbiz.de/10011988191

Nonlinear valuation under credit, funding, and margins : existence, uniqueness, invariance, and disentanglement

Brigo, Damiano; Francischello, Marco; Pallavicini, Andrea - In: European journal of operational research : EJOR 274 (2019) 2, pp. 788-805

Persistent link: https://www.econbiz.de/10011990226

Hedging of crop harvest with derivatives on temperature

Hainaut, Donatien - In: Insurance / Mathematics & economics 84 (2019), pp. 98-114

Persistent link: https://www.econbiz.de/10011990451

The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis

Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 14 (2017) 3, pp. 126-134

Persistent link: https://www.econbiz.de/10011867234

On skewed, leptokurtic returns and pentanomial lattice option valuation via minimal entropy martingale measure

Mwaniki, Ivivi Joseph - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

This article develops, a lattice-based approach for pricing contingent claims when parameters governing the logs of the underlying asset dynamics are modelled by generalized hyperbolic distribution and normal inverse Gaussian distribution. The pentanomial lattice is constructed using a moment...

Persistent link: https://www.econbiz.de/10011883226

Bismut-Elworthy-Li formula for subordinated Brownian motion applied to hedging financial derivatives

Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 5 (2017) 1, pp. 1-25

). The purpose is to by-pass the derivative of an (irregular) pay-off function in a jump-type market by introducing a weight …

Persistent link: https://www.econbiz.de/10011886622

Arbitrage-free XVA

Bichuch, Maxim; Capponi, Agostino; Sturm, Stephan - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 582-620

Persistent link: https://www.econbiz.de/10011969094

Polynomial upper and lower bounds for financial derivative price functions under regime-switching

Bhim, Louis; Kawai, Reiichiro - In: The journal of computational finance 22 (2018) 2, pp. 35-71

Persistent link: https://www.econbiz.de/10011976660

Catastrophe insurance derivatives pricing using a Cox process with jump diffusion CIR intensity

Jang, Jiwook; Park, Jong Jun; Jang, Hyun Jin - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-20

Persistent link: https://www.econbiz.de/10011956976

Pricing temperature derivatives under weather forecasts

Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34

Persistent link: https://www.econbiz.de/10011903773