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CDO term structure modelling with Lévy processes and the relation to market models
Schmidt, Thorsten; Zabczyk, Jerzy - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009562136
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Optimal timing of investments modeled as perpetual American options in a Levy market
Adinya, Ini; Ekhaguere, G. O. S. - In: International journal of financial engineering 9 (2022) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10013188768
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The [beta]-variance gamma model
Schoutens, Wim; Van Damme, Geert - In: Review of derivatives research 14 (2011) 3, pp. 263-282
Persistent link: https://www.econbiz.de/10009349988
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Robust option pricing with characteristic functions and the B-spline order of density projection
Kirkby, J. Lars - In: The journal of computational finance 21 (2017/2018) 2, pp. 61-100
Persistent link: https://www.econbiz.de/10011848311
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Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
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Convenient multiple directions of stratification
Jourdain, Benjamin; Lapeyre, Bernard; Sabino, Piergiacomo - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 867-897
Persistent link: https://www.econbiz.de/10009380998
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Testing weak exogeneity in cointegrated panels
Moral-Benito, Enrique; Servén, Luis - In: Applied economics 47 (2015) 28/30, pp. 3116-3228
Persistent link: https://www.econbiz.de/10011289328
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Valuation of R&D investment opportunities with the threat of compentitors entry in real option analysis
Villani, Giovanni - In: Computational economics 43 (2014) 3, pp. 330-355
Persistent link: https://www.econbiz.de/10010258806
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Likelihood-based estimation of dynamic panels with predetermined regressors
Moral-Benito, Enrique - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 4, pp. 451-472
Persistent link: https://www.econbiz.de/10010337857
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Impact of bias in the estimation of American-style options by Monte Carlo simulation
Anukal Chiralaksanakul - In: Journal of modelling in management 11 (2016) 2, pp. 644-659
Persistent link: https://www.econbiz.de/10011529578