| Pricing Bermudan variance swaptions using multinomial trees
|
2019 |
Zhao, Honglei |
| Currency target zones as mirrored options
|
2019 |
Lera, Sandro Claudio |
| Exact replication of the best rebalancing rule in Hindsight
|
2019 |
Garivaltis, Alex |
| Evolution of real estate derivatives and their pricing
|
2019 |
Fabozzi, Frank J. |
| The determinants of CoCo bond prices
|
2019 |
Khah, Sara Abed Masror |
| A general accurate approximation for pricing and hedging basket options with exact moment matching
|
2019 |
Wu, Feifan |
| Volatility surface calibration to illiquid options
|
2019 |
Nagy, László |
| A closed-form solution for the global quadratic hedging of options under geometric Gaussian random walks
|
2019 |
Godin, Frédéric |
| Long and short memory in the risk-neutral pricing process
|
2019 |
Kim, Young Shin |
| A stochastic-volatility model for pricing power variants of exchange options
|
2019 |
Xia, Weixuan |
| Range-curtailing for options with discrete dividend payments under general diffusions
|
2019 |
Thakoor, Deeveya |
| A simple accurate binomial tree for pricing options on stocks with know dollar dividends
|
2019 |
Guo, Shuxin |
| Interrelations among chross-currency basis swaps spreads: pre- and post-crisis analysis
|
2019 |
Ibhagui, Oyakhilome |
| Numeraire dependence in risk-neutral probabilities of event outcomes
|
2019 |
Hanke, Michael |
| A unified Willow tree framework for one-factor short-rate models
|
2018 |
Wang, Guangguang |
| Options and the gamma knife
|
2018 |
Martin, Ian |
| An alternative option to portfolio rebalancing
|
2018 |
Israelov, Roni |
| It is time to shift log-normal
|
2018 |
Chen, Ren-Raw |
| Computing risk measures of life insurance policies through the Cox-Ross-Rubinstein model
|
2018 |
Costabile, Massimo |
| New approach to estimating VIX truncation errors using corridor variance swaps
|
2018 |
Wu, Desheng Dash |
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