arXiv 2016-12-09 EN Early exercise decision in American options with dividends, stochastic volatility and jumps Cosma, Antonio · Galluccio, Stefano · Pederzoli, Paola · Scaillet, Olivier
arXiv 2016-12-07 EN Game options with gradual exercise and cancellation under proportional transaction costs Roux, Alet · Zastawniak, Tomasz
arXiv 2016-12-06 EN Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion Kim, Y. S. · Stoyanov, S. · Rachev, S. · Fabozzi, F.
arXiv 2016-12-02 EN A Market Driver Volatility Model via Policy Improvement Algorithm Maeda, Jun · Jacka, Saul D.
arXiv 2016-11-28 EN Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets Gonchar, N. S.
arXiv 2016-11-14 EN Regularization and analytic option pricing under α-stable distribution of arbitrary asymmetry Aguilar, Jean-Philippe · Coste, Cyril · Kleinert, Hagen · Korbel, Jan
arXiv 2016-11-10 EN Distributional Mellin calculus in Cⁿ, with applications to option pricing Aguilar, Jean-Philippe · Coste, Cyril · Kleinert, Hagen · Korbel, Jan
arXiv 2016-10-31 EN Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts Platen, Eckhard · Taylor, David
arXiv 2016-10-28 EN Understanding the Non-Convergence of Agricultural Futures via Stochastic Storage Costs and Timing Options Guo, Kevin · Leung, Tim
arXiv 2016-10-11 EN Barrier Option Pricing under the 2-Hypergeometric Stochastic Volatility Model Sousa, Rúben · Cruzeiro, Ana Bela · Guerra, Manuel
arXiv 2016-10-10 EN Dependent Defaults and Losses with Factor Copula Models Ackerer, Damien · Vatter, Thibault
arXiv 2016-10-05 EN The Cross-section of Expected Returns on Penny Stocks: Are Low-hanging Fruits Not-so Sweet? Bhattacharyya, Ananjan · Chandra, Abhijeet
arXiv 2016-10-03 EN Exponential functionals of Levy processes and variable annuity guaranteed benefits Feng, Runhuan · Kuznetsov, Alexey · Yang, Fenghao
arXiv 2016-09-24 EN Discrete Sums of Geometric Brownian Motions, Annuities and Asian Options Pirjol, Dan · Zhu, Lingjiong
arXiv 2016-09-24 EN Short Maturity Asian Options in Local Volatility Models Pirjol, Dan · Zhu, Lingjiong
arXiv 2016-09-19 EN Bounds for VIX Futures given S&P 500 Smiles Guyon, Julien · Menegaux, Romain · Nutz, Marcel
arXiv 2016-09-18 EN Static vs adapted optimal execution strategies in two benchmark trading models Brigo, Damiano · Piat, Clement
