Volume 19; Issue 1

Review of Derivatives Research

Volume 19; Issue 1

1

Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes

Torricelli, Lorenzo

Journal:

Review of Derivatives Research

Year:

2016

Language:

english

File:

PDF, 850 KB

english, 2016

2

Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

Journal:

Review of Derivatives Research

Year:

2016

Language:

english

File:

PDF, 1.48 MB

english, 2016

3

Is the information obtained from European options on equally weighted baskets enough to determine the prices of exotic derivatives such as worst-of options?

J. Marabel Romo

Journal:

Review of Derivatives Research

Year:

2016

Language:

english

File:

PDF, 690 KB

english, 2016