Works matching IS 13806645 AND DT 2016 AND VI 19 AND IP 1
Results: 3
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:
- Publication type:
- Article
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:
- Publication type:
- Article
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:
- Publication type:
- Article