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Pricing Perpetual Fund Protection with Withdrawal Option
16 references·1 citing·42 second hop
Pricing Perpetual Fund Protection with Withdrawal Option (2003)Pricing Perpetual Fund Protection with Wi…Mathematical Models of Financial Derivatives (2008)Mathematical Models of Financ…Valuing Equity-Indexed Annuities (2000)Valuing Equity-Indexed Annuit…Financial Economics: With Applications to Investments, Insurance and Pensions (1999)Financial Economics: With App…Essentials of Stochastic Finance (1999)Essentials of Stochastic Fina…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Financial Economics (1997)Financial EconomicsFinancial Calculus: An Introduction to Derivative Pricing. (1997)Financial Calculus: An Introd…Actuarial bridges to dynamic hedging and option pricing (1996)Actuarial bridges to dynamic …Option pricing by Esscher transforms. (1995)Option pricing by Esscher tra…A New Look at Pricing of the ”Russian Option“ (1995)A New Look at Pricing of the …The Russian Option: Reduced Regret (1993)The Russian Option: Reduced R…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Lookback options and dynamic fund protection under multiscale stochastic volatility (2007)Lookback options and dynamic …ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Path Dependent Options: The Case of Lookback Options (1991)Robust hedging of the lookback option (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Option pricing when underlying stock returns are discontinuous (1976)Option pricing: A simplified approach (1979)On the Time Value of Ruin (1998)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)An experimental analysis of multi-attribute auctions (2000)PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES (2004)Convergence of Monte Carlo simulations involving the mean-reverting square root process (2005)Fully Nonparametric Estimation of Scalar Diffusion Models (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Numerical Solution of Stochastic Differential Equations (2016)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)The cumulant process and Esscher's change of measure (2002)Applications of Hilbert–Huang transform to non‐stationary financial time series analysis (2003)Option pricing and Esscher transform under regime switching (2005)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 1995Option pricing by Esscher transforms.651 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1999Essentials of Stochastic Finance412 cited
  • 1997Financial Calculus: An Introduction to Derivative Pricing.361 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1997Financial Economics233 cited
  • 1993The Russian Option: Reduced Regret229 cited
  • 1996Actuarial bridges to dynamic hedging and option pricing189 cited
  • 1999Financial Economics: With Applications to Investments, Insurance and Pensions145 cited
  • 1995A New Look at Pricing of the ”Russian Option“122 cited
  • 2000Valuing Equity-Indexed Annuities111 cited

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  • 2007Lookback options and dynamic fund protection under multiscale stochastic volatility30 cited