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Integrated dynamic models for hedging international portfolio risks

Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: European journal of operational research : EJOR 285 (2020) 1, pp. 48-65

Persistent link: https://www.econbiz.de/10012239474

Pricing options on scenario trees

Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: Journal of banking & finance 32 (2008) 2, pp. 283-298

Persistent link: https://www.econbiz.de/10003647220

Controlling currency risk with options or forwards

Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: Handbook of financial engineering, (pp. 245-278). 2008

Persistent link: https://www.econbiz.de/10003753682

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998

Persistent link: https://www.econbiz.de/10000997340

Compound and exchange options in the affine term structure model

Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10001209608

Options on forward and futures contracts in the affine term structure model

Leblanc, Boris - In: Advances in futures and options research : a research annual 8 (1995), pp. 241-261

Persistent link: https://www.econbiz.de/10001211281

Early exercise decision in American options with dividends, stochastic volatility and jumps

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...

Persistent link: https://www.econbiz.de/10011625896

Valuing American options using fast recursive projections

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2015

Persistent link: https://www.econbiz.de/10011853284

Weak convergence of hedging strategies of contingent claims

Prigent, Jean-Luc; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001655789

Option pricing with discrete rebalancing

Prigent, Jean-Luc; Renault, Olivier; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001707061