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Sensitivity estimates for portfolio credit derivatives using Monte Carlo.
- Published in:
- Finance & Stochastics, 2008, v. 12, n. 4, p. 507, doi. 10.1007/s00780-008-0071-y
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- Article
The critical price for the American put in an exponential Lévy model.
- Published in:
- Finance & Stochastics, 2008, v. 12, n. 4, p. 561, doi. 10.1007/s00780-008-0073-9
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- Article
No arbitrage and closure results for trading cones with transaction costs.
- Published in:
- Finance & Stochastics, 2008, v. 12, n. 4, p. 583, doi. 10.1007/s00780-008-0075-7
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- Article
Arbitrage-free market models for option prices: the multi-strike case.
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- Finance & Stochastics, 2008, v. 12, n. 4, p. 469, doi. 10.1007/s00780-008-0068-6
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- Publication type:
- Article
American and European options in multi-factor jump-diffusion models, near expiry.
- Published in:
- Finance & Stochastics, 2008, v. 12, n. 4, p. 541, doi. 10.1007/s00780-008-0070-z
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- Publication type:
- Article
Pricing by hedging and no-arbitrage beyond semimartingales.
- Published in:
- Finance & Stochastics, 2008, v. 12, n. 4, p. 441, doi. 10.1007/s00780-008-0074-8
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- Publication type:
- Article