Works matching IS 09492984 AND DT 2011 AND VI 15 AND IP 4
Results: 8
Asymptotic analysis for stochastic volatility: martingale expansion.
- Published in:
- Finance & Stochastics, 2011, v. 15, n. 4, p. 635, doi. 10.1007/s00780-010-0136-6
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- Article
Pricing Bermudan options by nonparametric regression: optimal rates of convergence for lower estimates.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 655, doi. 10.1007/s00780-010-0132-x
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- Article
On irreversible investment.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 607, doi. 10.1007/s00780-010-0131-y
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- Article
Optimal investment with counterparty risk: a default-density model approach.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 725, doi. 10.1007/s00780-010-0140-x
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- Article
The large-maturity smile for the Heston model.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 755, doi. 10.1007/s00780-010-0147-3
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- Article
On the calibration of local jump-diffusion asset price models.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 685, doi. 10.1007/s00780-011-0159-7
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- Article
Proving regularity of the minimal probability of ruin via a game of stopping and control.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 785, doi. 10.1007/s00780-011-0160-1
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- Article
A note on essential smoothness in the Heston model.
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- Finance & Stochastics, 2011, v. 15, n. 4, p. 781, doi. 10.1007/s00780-011-0162-z
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- Article