Pages that link to "Item:Q4842819"
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The following pages link to Changes of numéraire, changes of probability measure and option pricing (Q4842819):
Displaying 50 items.
- Econometric specification of stochastic discount factor models (Q278271) (← links)
- Closed-form solutions for guaranteed minimum accumulation and death benefits (Q303739) (← links)
- Valuation of power options under Heston's stochastic volatility model (Q311037) (← links)
- Relative asset price bubbles (Q315462) (← links)
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order (Q318379) (← links)
- Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield (Q322504) (← links)
- Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
- Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models (Q375376) (← links)
- Exchange option in a two-state Poisson CAPM (Q395917) (← links)
- Valuation of \(N\)-stage investments under jump-diffusion processes (Q429535) (← links)
- Taming animal spirits: risk management with behavioural factors (Q470654) (← links)
- On the hedging of options on exploding exchange rates (Q471173) (← links)
- An overview of the valuation of collateralized derivative contracts (Q475330) (← links)
- On an optimization problem related to static super-replicating strategies (Q475663) (← links)
- Pricing American continuous-installment options under stochastic volatility model (Q482015) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- Multivariate European option pricing in a Markov-modulated Lévy framework (Q507979) (← links)
- Change of numeraire in the two-marginals martingale transport problem (Q522059) (← links)
- Shape factors and cross-sectional risk (Q609842) (← links)
- An analytic formula for the price of an American-style Asian option of floating strike type (Q613214) (← links)
- A Poisson-Gaussian model to price European options on the extremum of several risky assets within the HJM framework (Q625671) (← links)
- Equity-linked pension schemes with guarantees (Q654835) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
- An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve (Q670282) (← links)
- Pricing rate of return guarantees in regular premium unit linked insurance (Q704417) (← links)
- Symmetric martingales and symmetric smiles (Q734666) (← links)
- Pricing convertible bonds and change of probability measure (Q741859) (← links)
- Option pricing for log-symmetric distributions of returns (Q835680) (← links)
- Exact volatility calibration based on a Dupire-type call-put duality for perpetual American options (Q841614) (← links)
- Valuing virtual production capacities on flow commodities (Q857950) (← links)
- Dividends in the theory of derivative securities pricing (Q878400) (← links)
- On the duality principle in option pricing: semimartingale setting (Q928504) (← links)
- On changes of measure in stochastic volatility models (Q937484) (← links)
- Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt (Q953752) (← links)
- The valuation of convertible bonds with numeraire changes (Q966534) (← links)
- Esscher transform and the duality principle for multidimensional semimartingales (Q983888) (← links)
- On parallel asset-liability management in life insurance: a forward risk-neutral approach (Q991133) (← links)
- Analytical approximations for prices of swap rate dependent embedded options in insurance products (Q1003826) (← links)
- Making the best of best-of (Q1025611) (← links)
- A dynamic programming approach for pricing options embedded in bonds (Q1027361) (← links)
- Valuation for an American continuous-installment put option on bond under Vasicek interest rate model (Q1040023) (← links)
- Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets (Q1367852) (← links)
- Actuarial bridges to dynamic hedging and option pricing (Q1381457) (← links)
- Valuation of guaranteed annuity conversion options. (Q1413340) (← links)
- Moment generating function approach to pricing interest rate and foreign exchange rate claims. (Q1413350) (← links)
- The dynamics of implied volatilities: a common principal components approach (Q1417894) (← links)
- Pricing and hedging guaranteed annuity options via static option replication. (Q1423359) (← links)
