THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 373, doi. 10.1111/j.0960-1627.2005.00224.x
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- Article
Works matching IS 09601627 AND DT 2005 AND VI 15 AND IP 2
Results: 8
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2
ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 203, doi. 10.1111/j.0960-1627.2005.00217.x
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- Article
3
CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 213, doi. 10.1111/j.0960-1627.2005.00218.x
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- Article
4
A NEW METHOD OF PRICING LOOKBACK OPTIONS.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 245, doi. 10.1111/j.0960-1627.2005.00219.x
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- Publication type:
- Article
5
OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR-LUNDBERG MODEL.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 261, doi. 10.1111/j.0960-1627.2005.00220.x
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- Article
6
ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 345, doi. 10.1111/j.0960-1627.2005.00222.x
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- Article
7
EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 309, doi. 10.1111/j.0960-1627.2005.00221.x
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- Publication type:
- Article
8
UNIVERSAL INVESTMENT IN MARKETS WITH TRANSACTION COSTS.
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- Mathematical Finance, 2005, v. 15, n. 2, p. 359, doi. 10.1111/j.0960-1627.2005.00223.x
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- Publication type:
- Article