DerivaGem
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Related Items (21)
Multi-dimensional Legendre wavelets approach on the Black-Scholes and Heston Cox Ingersoll Ross equations ⋮ Jumping hedges on the strength of the Mellin transform ⋮ A new elementary geometric approach to option pricing bounds in discrete time models ⋮ Is gold a hedge or safe haven against oil and currency market movements? A revisit using multifractal approach ⋮ Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts ⋮ Barndorff-Nielsen and Shephard model: oil hedging with variance swap and option ⋮ A fast numerical method for the valuation of American lookback put options ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ Downside risks in EU carbon and fossil fuel markets ⋮ Predicting DAX trends from Dow Jones data by methods of the mathematical theory of democracy ⋮ Stochastically weighted stochastic dominance concepts with an application in capital budgeting ⋮ On a mixture vector autoregressive model ⋮ Weak Galerkin finite element method for valuation of American options ⋮ OPTION PRICING WITH HEAVY-TAILED DISTRIBUTIONS OF LOGARITHMIC RETURNS ⋮ Estimating default barriers from market information ⋮ Options strategies with the risk adjustment ⋮ STOCHASTIC VOLATILITY MODELS AND THE PRICING OF VIX OPTIONS ⋮ Efficient calculation of the Greeks for exponential Lévy processes: an application of measure valued differentiation ⋮ Front-fixing FEMs for the pricing of American options based on a PML technique ⋮ Projection and Contraction Method for the Valuation of American Options ⋮ An inverse finance problem for estimating volatility in American option pricing under jump-diffusion dynamics
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