Fractional Black-Scholes equation.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500049
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- Article
Works matching IS 24247863 AND DT 2017 AND VI 4 AND IP 1
Results: 14
1
2
The impact of skew on the pricing of CoCo bonds.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500128
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- Publication type:
- Article
3
Optimal dividends in the dual risk model under a stochastic interest rate.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500104
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- Publication type:
- Article
4
Pricing currency options in the Heston/CIR double exponential jump-diffusion model.
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- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S242478631750013X
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- Publication type:
- Article
5
The pricing of average options with jump diffusion processes in the uncertain volatility model.
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- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500050
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- Publication type:
- Article
6
A weak approximation with Malliavin weights for local stochastic volatility model.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500025
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- Publication type:
- Article
7
Sensitivities under G2 model of the yield curve.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500086
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- Publication type:
- Article
8
Co-movement of precious metals and forecasting using scale by scale wavelet transform.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500074
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- Publication type:
- Article
9
Pricing derivatives with fractional volatility.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500141
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- Publication type:
- Article
10
Chapman-Kolmogorov equations for multi-period equity-linked note with conditional coupons.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500098
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- Publication type:
- Article
11
Pricing for options in a mixed fractional Hull-White interest rate model.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500116
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- Publication type:
- Article
12
Rebalancing static super-replications.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500037
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- Publication type:
- Article
13
Contingent conversion convertible bond: New avenue to raise bank capital.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500013
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- Publication type:
- Article
14
The effects of negative interest rates on the estimation of option sensitivities: The impact of switching from a log-normal to a normal model.
- Published in:
- International Journal of Financial Engineering, 2017, v. 4, n. 1, p. -1, doi. 10.1142/S2424786317500153
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- Publication type:
- Article