Kilianová, Soňa; Letko, Boris An empirical study on using Hurst exponent estimation methods for pricing call options by fractional Black-Scholes model. (English) Zbl 1409.91238 Risk Decis. Anal. 7, No. 1-2, 51-62 (2018). MSC: 91G20 60G22 91-04 PDFBibTeX XMLCite \textit{S. Kilianová} and \textit{B. Letko}, Risk Decis. Anal. 7, No. 1--2, 51--62 (2018; Zbl 1409.91238) Full Text: DOI
Perrakis, Stylianos Transaction costs and option prices. (English) Zbl 1409.91250 Risk Decis. Anal. 6, No. 3, 241-248 (2017). MSC: 91G20 60E15 PDFBibTeX XMLCite \textit{S. Perrakis}, Risk Decis. Anal. 6, No. 3, 241--248 (2017; Zbl 1409.91250) Full Text: DOI
Carr, Peter Why is VIX a fear gauge? (English) Zbl 1409.91229 Risk Decis. Anal. 6, No. 2, 179-185 (2017). MSC: 91G20 PDFBibTeX XMLCite \textit{P. Carr}, Risk Decis. Anal. 6, No. 2, 179--185 (2017; Zbl 1409.91229) Full Text: DOI
Glazyrina, Anna; Melnikov, Alexander Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time. (English) Zbl 1409.91134 Risk Decis. Anal. 6, No. 2, 167-175 (2017). MSC: 91B30 PDFBibTeX XMLCite \textit{A. Glazyrina} and \textit{A. Melnikov}, Risk Decis. Anal. 6, No. 2, 167--175 (2017; Zbl 1409.91134) Full Text: DOI
Leung, Tim; Li, Zongxi Timing options for a startup with early termination and competition risks. (English) Zbl 1409.91240 Risk Decis. Anal. 6, No. 2, 151-166 (2017). MSC: 91G20 60G40 91B30 PDFBibTeX XMLCite \textit{T. Leung} and \textit{Z. Li}, Risk Decis. Anal. 6, No. 2, 151--166 (2017; Zbl 1409.91240) Full Text: DOI arXiv
Melnikov, Alexander; Mishura, Yuliya On stocks and interest rates modeling in long-range dependent environment. (English) Zbl 1409.91255 Risk Decis. Anal. 5, No. 4, 177-187 (2014). MSC: 91G30 60G22 91G20 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{Y. Mishura}, Risk Decis. Anal. 5, No. 4, 177--187 (2014; Zbl 1409.91255) Full Text: DOI
Oancea, Ioan Mihai; Perrakis, Stylianos From stochastic dominance to Black-Scholes: an alternative option pricing paradigm. (English) Zbl 1409.91248 Risk Decis. Anal. 5, No. 2-3, 99-112 (2014). MSC: 91G20 91G80 60E15 PDFBibTeX XMLCite \textit{I. M. Oancea} and \textit{S. Perrakis}, Risk Decis. Anal. 5, No. 2--3, 99--112 (2014; Zbl 1409.91248) Full Text: DOI
Stojanovic, Srdjan; Göncü, Ahmet Pricing portfolios of contracts on cumulative temperature with risk premium determination. (English) Zbl 1409.91221 Risk Decis. Anal. 5, No. 1, 75-98 (2014). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{S. Stojanovic} and \textit{A. Göncü}, Risk Decis. Anal. 5, No. 1, 75--98 (2014; Zbl 1409.91221) Full Text: DOI
Parsa, Masoud; Mallikarjunappa, T. Futures trading and commodity spot market volatility: empirical evidence on selected commodities in Indian market. (English) Zbl 1409.91249 Risk Decis. Anal. 5, No. 1, 43-61 (2014). MSC: 91G20 62P05 62M10 PDFBibTeX XMLCite \textit{M. Parsa} and \textit{T. Mallikarjunappa}, Risk Decis. Anal. 5, No. 1, 43--61 (2014; Zbl 1409.91249) Full Text: DOI
Melnikov, Alexander; Tong, Shuo Valuation of finance/insurance contracts: efficient hedging and stochastic interest rates modeling. (English) Zbl 1409.91140 Risk Decis. Anal. 5, No. 1, 23-41 (2014). MSC: 91B30 91G30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{S. Tong}, Risk Decis. Anal. 5, No. 1, 23--41 (2014; Zbl 1409.91140) Full Text: DOI
Li, Hao; Melnikov, Alexander On polynomial extension of \(t\)-distribution and its financial applications. (English) Zbl 1409.91241 Risk Decis. Anal. 4, No. 4, 255-266 (2013). MSC: 91G20 62P05 91G70 PDFBibTeX XMLCite \textit{H. Li} and \textit{A. Melnikov}, Risk Decis. Anal. 4, No. 4, 255--266 (2013; Zbl 1409.91241) Full Text: DOI
Li, Lide; Kleindorfer, Paul R. On calendar energy options. (English) Zbl 1409.91242 Risk Decis. Anal. 4, No. 4, 225-233 (2013). MSC: 91G20 PDFBibTeX XMLCite \textit{L. Li} and \textit{P. R. Kleindorfer}, Risk Decis. Anal. 4, No. 4, 225--233 (2013; Zbl 1409.91242) Full Text: DOI
Melnikov, Alexander; Tong, Shuo Efficient hedging for equity-linked life insurance contracts with stochastic interest rate. (English) Zbl 1409.93023 Risk Decis. Anal. 4, No. 3, 207-223 (2013). MSC: 93B30 91G30 PDFBibTeX XMLCite \textit{A. Melnikov} and \textit{S. Tong}, Risk Decis. Anal. 4, No. 3, 207--223 (2013; Zbl 1409.93023) Full Text: DOI
Ivanenko, Yaroslav; Munier, Bertrand Price as a choice under nonstochastic randomness in finance. (English) Zbl 1409.91235 Risk Decis. Anal. 4, No. 3, 191-205 (2013). MSC: 91G20 91B06 91G10 PDFBibTeX XMLCite \textit{Y. Ivanenko} and \textit{B. Munier}, Risk Decis. Anal. 4, No. 3, 191--205 (2013; Zbl 1409.91235) Full Text: DOI
Kolokoltsov, Vassili N. Game theoretic analysis of incomplete markets: emergence of probabilities, nonlinear and fractional Black-Scholes equations. (English) Zbl 1409.91239 Risk Decis. Anal. 4, No. 3, 131-161 (2013). MSC: 91G20 60G40 91G80 91A80 93B35 PDFBibTeX XMLCite \textit{V. N. Kolokoltsov}, Risk Decis. Anal. 4, No. 3, 131--161 (2013; Zbl 1409.91239) Full Text: DOI arXiv
Stojanovic, Srdjan D. Any-utility neutral and indifference pricing and hedging. (English) Zbl 1294.91055 Risk Decis. Anal. 4, No. 2, 103-118 (2013). MSC: 91B24 60H15 60J60 91G20 PDFBibTeX XMLCite \textit{S. D. Stojanovic}, Risk Decis. Anal. 4, No. 2, 103--118 (2013; Zbl 1294.91055) Full Text: DOI
Fung, Hon-Kwok; Li, Leong Kwan; Yung, S. P.; Zhou, Wei Fast evaluation of some probability integrals arisen from the valuations of discretely monitored derivative securities. (English) Zbl 1263.91051 Risk Decis. Anal. 4, No. 1, 59-68 (2013). MSC: 91G60 91G20 PDFBibTeX XMLCite \textit{H.-K. Fung} et al., Risk Decis. Anal. 4, No. 1, 59--68 (2013; Zbl 1263.91051) Full Text: DOI
Yiu, Cedric (ed.) Special issue: Financial derivates and risk models. Selected papers based on the presentations at the international conference on applied statistics and financial mathematics, ASFM 2010, and the international research forum on the current global economic crisis, Hong Kong, China, December 2010. (English) Zbl 1282.91017 Risk Decis. Anal. 4, No. 1, 68 p. (2013). MSC: 91-06 91G20 91Gxx 00B25 PDFBibTeX XML
Kaise, Hidehiro; Sekine, Jun Optimal portfolio for a highly risk-averse investor: a differential game interpretation. (English) Zbl 1409.91215 Risk Decis. Anal. 3, No. 3, 211-222 (2012). MSC: 91G10 91A23 49N90 PDFBibTeX XMLCite \textit{H. Kaise} and \textit{J. Sekine}, Risk Decis. Anal. 3, No. 3, 211--222 (2012; Zbl 1409.91215) Full Text: DOI
Privault, Nicolas; Teng, Timothy Robin Risk-neutral hedging of interest rate derivatives. (English) Zbl 1409.91251 Risk Decis. Anal. 3, No. 3, 201-209 (2012). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{N. Privault} and \textit{T. R. Teng}, Risk Decis. Anal. 3, No. 3, 201--209 (2012; Zbl 1409.91251) Full Text: DOI
Fu, Jun; Yang, Hailiang Elasticity approach to asset allocation in discrete time. (English) Zbl 1409.91213 Risk Decis. Anal. 3, No. 1-2, 139-146 (2012). MSC: 91G10 91G20 PDFBibTeX XMLCite \textit{J. Fu} and \textit{H. Yang}, Risk Decis. Anal. 3, No. 1--2, 139--146 (2012; Zbl 1409.91213) Full Text: DOI
Tapiero, Charles S. Insurance and finance: competition and/or convergence. (English) Zbl 1409.91143 Risk Decis. Anal. 3, No. 1-2, 19-35 (2012). MSC: 91B30 91G20 91G40 PDFBibTeX XMLCite \textit{C. S. Tapiero}, Risk Decis. Anal. 3, No. 1--2, 19--35 (2012; Zbl 1409.91143) Full Text: DOI
Chen, Zengjing; Sulem, Agnès An integral representation theorem of \(g\)-expectations. (English) Zbl 1409.91231 Risk Decis. Anal. 2(2010), No. 4, 245-255 (2011). MSC: 91G20 60A99 60H10 35Q91 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{A. Sulem}, Risk Decis. Anal. 2, No. 4, 245--255 (2011; Zbl 1409.91231) Full Text: DOI
Caramellino, Lucia; Zanette, Antonino Monte Carlo methods for pricing and hedging American options in high dimension. (English) Zbl 1409.91273 Risk Decis. Anal. 2(2010), No. 4, 207-220 (2011). MSC: 91G60 91G20 65C05 60G40 60H07 PDFBibTeX XMLCite \textit{L. Caramellino} and \textit{A. Zanette}, Risk Decis. Anal. 2, No. 4, 207--220 (2011; Zbl 1409.91273) Full Text: DOI
Pironneau, Olivier Reduced basis for vanilla and basket options. (English) Zbl 1409.91280 Risk Decis. Anal. 2(2010), No. 4, 185-194 (2011). MSC: 91G60 91G20 65M60 PDFBibTeX XMLCite \textit{O. Pironneau}, Risk Decis. Anal. 2, No. 4, 185--194 (2011; Zbl 1409.91280) Full Text: DOI
Yuan, Jiguang; Liu, John J. QVI characterization of contingent options in marine mutual insurance. (English) Zbl 1220.91020 Risk Decis. Anal. 2(2010-2011), No. 2, 75-83 (2010). MSC: 91B30 91B74 91G20 PDFBibTeX XMLCite \textit{J. Yuan} and \textit{J. J. Liu}, Risk Decis. Anal. 2, No. 2, 75--83 (2010; Zbl 1220.91020) Full Text: DOI
Li, Lide; Kleindorfer, Paul R. On hedging spark spread options in electricity markets. (English) Zbl 1232.91671 Risk Decis. Anal. 1, No. 4, 211-220 (2009). MSC: 91G20 91B24 91G10 PDFBibTeX XMLCite \textit{L. Li} and \textit{P. R. Kleindorfer}, Risk Decis. Anal. 1, No. 4, 211--220 (2009; Zbl 1232.91671) Full Text: DOI