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Choquet-based European option pricing with stochastic (and fixed) strikes

Driouchi, Tarik; Trigeorgis, Lenos; Gao, Yongling - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 787-802

Persistent link: https://www.econbiz.de/10011296691

Optimal investment under cost uncertainty

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19

This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...

Persistent link: https://www.econbiz.de/10011811536

Partial derivatives of uncertain fields and uncertain partial differential equations

Ye, Tingqing - In: Fuzzy optimization and decision making : a journal of … 23 (2024) 2, pp. 199-217

Persistent link: https://www.econbiz.de/10015079781

Uncertain partial differential equation with application to heat conduction

Yang, Xiangfeng; Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 16 (2017) 3, pp. 379-403

Persistent link: https://www.econbiz.de/10011805645

Uncertain contour process and its application in stock model with floating interest rate

Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 399-424

Persistent link: https://www.econbiz.de/10011538477

Long-term risk with stochastic interest rates

Severino, Federico - In: Mathematical finance : an international journal of … 35 (2025) 1, pp. 3-39

Persistent link: https://www.econbiz.de/10015358988

Equilibriummulti-agent model with heterogeneous views on fundamental risks

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2023

Persistent link: https://www.econbiz.de/10015175526

Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates

Ng, Leslie - In: International journal of theoretical and applied finance 16 (2013) 8, pp. 1-33

Persistent link: https://www.econbiz.de/10010243617

Cash sub-additive risk measures and interest rate ambiguity

El Karoui, Nicole; Ravanelli, Claudia - 2008

A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future … sub-additive risk measures can model stochastic and/or ambiguous interest rates or defaultable contingent claims …. Practical examples are presented and in such contexts cash additive risk measures cannot be used. Several representations of the …

Persistent link: https://www.econbiz.de/10003961489

Cash subadditive risk measures and interest rate ambiguity

El Karoui, Nicole; Ravanelli, Claudia - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 561-590

Persistent link: https://www.econbiz.de/10003937131