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Making the best of best-of

Guillaume, Tristan - In: Review of derivatives research 11 (2008) 1/2, pp. 1-39

Persistent link: https://www.econbiz.de/10003829528

Autocallable structured products

Guillaume, Tristan - In: The journal of derivatives : the official publication … 22 (2015) 3, pp. 73-94

Persistent link: https://www.econbiz.de/10011399687

Analytical valuation of autocallable notes

Guillaume, Tristan - In: International journal of financial engineering 2 (2015) 2, pp. 1-23

Persistent link: https://www.econbiz.de/10011333447

On the multidimensional Black-Scholes partial differential equation

Guillaume, Tristan - In: Decision making and risk/return optimization in …, (pp. 229-251). 2019

Persistent link: https://www.econbiz.de/10012134802

Closed form valuation of barrier options with stochastic barriers

Guillaume, Tristan - In: Risk management decisions and value under uncertainty, (pp. 1021-1050). 2022

Persistent link: https://www.econbiz.de/10013342082

valuation of options on joint minima and maxima

Guillaume, Tristan - In: Applied Mathematical Finance 8 (2001) 4, pp. 209-233

It is shown how to obtain explicit formulae for a variety of popular path-dependent contracts with complex payoffs involving joint distributions of several extrema. More specifically, formulae are given for standard step-up and stepdown barrier options, as well as partial and outside step-up and...

Persistent link: https://www.econbiz.de/10005462516