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Works matching IS 13806645 AND DT 2016 AND VI 19 AND IP 1

Results: 3

1

Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options.

Published in:

Review of Derivatives Research, 2016, v. 19, n. 1, p. 41, doi. 10.1007/s11147-015-9114-7

By:

Kao, Lie-Jane

Publication type:

Article

2

Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

Published in:

Review of Derivatives Research, 2016, v. 19, n. 1, p. 65, doi. 10.1007/s11147-015-9115-6

By:

Marabel Romo, Jacinto

Publication type:

Article

3

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes.

Published in:

Review of Derivatives Research, 2016, v. 19, n. 1, p. 1, doi. 10.1007/s11147-015-9113-8

By:

Torricelli, Lorenzo

Publication type:

Article