GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 723, doi. 10.1111/j.1467-9965.2010.00452.x
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- Publication type:
- Article
Works matching IS 09601627 AND DT 2011 AND VI 21 AND IP 4
Results: 9
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2
THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 595, doi. 10.1111/j.1467-9965.2010.00445.x
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- Article
3
OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 775, doi. 10.1111/j.1467-9965.2010.00449.x
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- Publication type:
- Article
4
RELAXED UTILITY MAXIMIZATION IN COMPLETE MARKETS.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 703, doi. 10.1111/j.1467-9965.2010.00451.x
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- Article
5
NO-ARMAGEDDON MEASURE FOR ARBITRAGE-FREE PRICING OF INDEX OPTIONS IN A CREDIT CRISIS.
- Published in:
- Mathematical Finance, 2011, v. 21, n. 4, p. 573, doi. 10.1111/j.1467-9965.2010.00444.x
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- Publication type:
- Article
6
ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 643, doi. 10.1111/j.1467-9965.2010.00448.x
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- Publication type:
- Article
7
RISK MEASURES: RATIONALITY AND DIVERSIFICATION.
- Published in:
- Mathematical Finance, 2011, v. 21, n. 4, p. 743, doi. 10.1111/j.1467-9965.2010.00450.x
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- Publication type:
- Article
8
PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS.
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- Mathematical Finance, 2011, v. 21, n. 4, p. 627, doi. 10.1111/j.1467-9965.2010.00447.x
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- Publication type:
- Article
9
OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS.
- Published in:
- Mathematical Finance, 2011, v. 21, n. 4, p. 681, doi. 10.1111/j.1467-9965.2010.00446.x
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- Publication type:
- Article