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Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements.
- Published in:
- Annals of Actuarial Science, 2020, v. 14, n. 1, p. 188, doi. 10.1017/S1748499519000125
- By:
- Publication type:
- Article
MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS.
- Published in:
- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 5, p. N.PAG, doi. 10.1142/S0219024918500292
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- Publication type:
- Article
A backward Monte Carlo approach to exotic option pricing.
- Published in:
- European Journal of Applied Mathematics, 2018, v. 29, n. 1, p. 146, doi. 10.1017/S0956792517000079
- By:
- Publication type:
- Article
Pricing Formula for Exotic Options with Assets Exposed to Counterparty Risk.
- Published in:
- Discrete Dynamics in Nature & Society, 2017, p. 1, doi. 10.1155/2017/5239808
- By:
- Publication type:
- Article
Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements.
- Published in:
- Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 5, p. 585, doi. 10.1002/asmb.2179
- By:
- Publication type:
- Article
An explicit martingale version of the one-dimensional Brenier theorem.
- Published in:
- Finance & Stochastics, 2016, v. 20, n. 3, p. 635, doi. 10.1007/s00780-016-0299-x
- By:
- Publication type:
- Article
Reverse Bonus Certificate Design and Valuation Using Pricing by Duplication Methods.
- Published in:
- Scientific Annals of the 'Alexandru Ioan Cuza' University of Iasi: Economic Sciences Series, 2015, v. 62, n. 3, p. 277, doi. 10.1515/aicue-2015-0019
- By:
- Publication type:
- Article
The αVG model for multivariate asset pricing: calibration and extension.
- Published in:
- Review of Derivatives Research, 2013, v. 16, n. 1, p. 25, doi. 10.1007/s11147-012-9080-2
- By:
- Publication type:
- Article
EXOTIC OPTIONS: A CHOOSER OPTION AND ITS PRICING.
- Published in:
- Business, Management & Education / Verslas, Vadyba ir Studijos, 2012, v. 10, n. 2, p. 289, doi. 10.3846/bme.2012.20
- By:
- Publication type:
- Article
ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET.
- Published in:
- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 8, p. -1, doi. 10.1142/S0219024912500550
- By:
- Publication type:
- Article
Unifying exotic option closed formulas.
- Published in:
- Review of Derivatives Research, 2012, v. 15, n. 2, p. 99, doi. 10.1007/s11147-011-9071-8
- By:
- Publication type:
- Article
Calibration risk: Illustrating the impact of calibration risk under the Heston model.
- Published in:
- Review of Derivatives Research, 2012, v. 15, n. 1, p. 57, doi. 10.1007/s11147-011-9069-2
- By:
- Publication type:
- Article
A forward started jump-diffusion model and pricing of cliquet style exotics.
- Published in:
- Review of Derivatives Research, 2010, v. 13, n. 2, p. 125, doi. 10.1007/s11147-009-9045-2
- By:
- Publication type:
- Article
An Empirical Comparison of Option-Pricing Models in Hedging Exotic Options.
- Published in:
- Financial Management (Wiley-Blackwell), 2009, v. 38, n. 4, p. 889, doi. 10.1111/j.1755-053X.2009.01060.x
- By:
- Publication type:
- Article
Dimension Reduction Approach To Simulating Exotic Options In A Meixner Levy Market.
- Published in:
- IAENG International Journal of Applied Mathematics, 2009, v. 39, n. 4, p. 265
- By:
- Publication type:
- Article
Analytical Valuation of Turbo Warrants under Double Exponential Jump Diffusion.
- Published in:
- Journal of Derivatives, 2008, v. 15, n. 4, p. 61, doi. 10.3905/jod.2008.707211
- By:
- Publication type:
- Article
An efficient approximation method for American exotic options.
- Published in:
- Journal of Futures Markets, 2007, v. 27, n. 1, p. 29, doi. 10.1002/fut.20230
- By:
- Publication type:
- Article
Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model.
- Published in:
- Management Science, 2006, v. 52, n. 12, p. 1930, doi. 10.1287/mnsc.1060.0575
- By:
- Publication type:
- Article
LOCALIZED MONTE CARLO ALGORITHM TO COMPUTE PRICES OF PATH DEPENDENT OPTIONS ON TREES.
- Published in:
- International Journal of Theoretical & Applied Finance, 2005, v. 8, n. 5, p. 553, doi. 10.1142/S0219024905003177
- By:
- Publication type:
- Article
SUGGESTED REFINEMENTS TO COURSES ON DERIVATIVES : PRESENTATION OF VALUATION EQUATIONS, PAY OFF DIAGRAMS AND MANAGERIAL APPLICATION FOR SECOND GENERATION OPTIONS.
- Published in:
- Journal of Financial Management & Analysis, 2004, v. 17, n. 1, p. 62
- By:
- Publication type:
- Article
THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY.
- Published in:
- International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 8, p. 839, doi. 10.1142/S0219024903002249
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- Publication type:
- Article
Valuation and Optimal Exercise Time for the Banxico Put Option.
- Published in:
- International Journal of Theoretical & Applied Finance, 2003, v. 6, n. 3, p. 257
- By:
- Publication type:
- Article
Nonparametric Statistical Methods and the Pricing of Derivative Securities.
- Published in:
- Journal of Applied Mathematics & Decision Sciences, 2002, v. 6, n. 1, p. 1, doi. 10.1155/S1173912602000019
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- Publication type:
- Article
The Analytics of Reset Options.
- Published in:
- Journal of Derivatives, 2000, v. 8, n. 1, p. 59, doi. 10.3905/jod.2000.319114
- By:
- Publication type:
- Article
Option Prices, Implied Price Processes, and Stochastic Volatility.
- Published in:
- Journal of Finance (Wiley-Blackwell), 2000, v. 55, n. 2, p. 839, doi. 10.1111/0022-1082.00228
- By:
- Publication type:
- Article
Pricing Parisian Options.
- Published in:
- Journal of Derivatives, 1999, v. 6, n. 3, p. 71, doi. 10.3905/jod.1999.319120
- By:
- Publication type:
- Article
Closed Form Formulas for Exotic Options and their Lifetime Distribution.
- Published in:
- International Journal of Theoretical & Applied Finance, 1999, v. 2, n. 1, p. 17, doi. 10.1142/S0219024999000030
- By:
- Publication type:
- Article
DOUBLE LOOKBACKS.
- Published in:
- Mathematical Finance, 1998, v. 8, n. 3, p. 201
- By:
- Publication type:
- Article
Static Hedging of Exotic Options.
- Published in:
- Journal of Finance (Wiley-Blackwell), 1998, v. 53, n. 3, p. 1165, doi. 10.1111/0022-1082.00048
- By:
- Publication type:
- Article
Risk management of correlation products.
- Published in:
- European Financial Management, 1997, v. 3, n. 2, p. 155, doi. 10.1111/1468-036x.00037
- By:
- Publication type:
- Article
An introduction to exotic options.
- Published in:
- European Financial Management, 1995, v. 1, n. 1, p. 87, doi. 10.1111/j.1468-036X.1995.tb00008.x
- By:
- Publication type:
- Article
Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price.
- Published in:
- Management Science, 1994, v. 40, n. 12, p. 1705, doi. 10.1287/mnsc.40.12.1705
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- Publication type:
- Article
NO, THE SKY ISN'T FALLING.
- Published in:
- 1994
- By:
- Publication type:
- Editorial