The β-variance gamma model.
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- Review of Derivatives Research, 2011, v. 14, n. 3, p. 263, doi. 10.1007/s11147-010-9057-y
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Works matching IS 13806645 AND DT 2011 AND VI 14 AND IP 3
Results: 4
1
2
A remark on static hedging of options written on the last exit time.
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- Review of Derivatives Research, 2011, v. 14, n. 3, p. 333, doi. 10.1007/s11147-010-9059-9
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- Article
3
American options and callable bonds under stochastic interest rates and endogenous bankruptcy.
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- Review of Derivatives Research, 2011, v. 14, n. 3, p. 283, doi. 10.1007/s11147-010-9058-x
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4
A recombining lattice option pricing model that relaxes the assumption of lognormality.
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- Review of Derivatives Research, 2011, v. 14, n. 3, p. 349, doi. 10.1007/s11147-010-9060-3
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- Article