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of 48
pro vyhledávání: '"Schöbel, Rainer"'
On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call options
Autor:
Frontczak, Robert, Schöbel, Rainer
Publikováno v:
In Journal of Computational and Applied Mathematics 2010 234(5):1559-1571
Autor:
Heilig, Stephan, Schöbel, Rainer
Publikováno v:
Jahrbücher für Nationalökonomie und Statistik / Journal of Economics and Statistics, 1999 Nov 01. 219(5/6), 657-672.
Externí odkaz:
https://www.jstor.org/stable/23812428
Publikováno v:
In Journal of Banking and Finance 2002 26(8):1615-1643
Autor:
Schöbel, Rainer1 rainer.schoebel@uni-tuebingen.de, Jianwei Zhu1 jianwei.zhu@uni-tuebingen.de
Publikováno v:
European Finance Review. 1999, Vol. 3 Issue 1, p23-46. 24p. 3 Charts, 3 Graphs.
Publikováno v:
Journal of Finance (Wiley-Blackwell); Dec1991, Vol. 46 Issue 5, p1879-1892, 14p
On Modified Mellin Transforms, Gauss-Laguerre Quadrature, and the Valuation of American Call Options
Autor:
Frontczak, Robert, Schöbel, Rainer
We extend a framework based on Mellin transforms and show how to modify the approach to value American call options on dividend paying stocks. We present a new integral equation to determine the price of an American call option and its free boundary
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d5a351cc1757465827fa790b39de00b9
https://hdl.handle.net/10900/47621
https://hdl.handle.net/10900/47621
Autor:
Frontczak, Robert, Schöbel, Rainer
Mellin transforms in option pricing theory were introduced by Panini and Srivastav (2004). In this contribution, we generalize their results to European power options. We derive Black-Scholes-Merton-like valuation formulas for European power put opti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::727ff748c950d2f4b5a803d38ef8835e
https://hdl.handle.net/10900/47603
https://hdl.handle.net/10900/47603
Autor:
Hager, Svenja, Schöbel, Rainer
Even if the correct modeling of default dependence is essential for the valuation of portfolio credit derivatives, for the pricing of synthetic CDOs a one-factor Gaussian copula model with constant and equal pairwise correlations for all assets in th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::06f1f4450b4ff070c873f39c9df14f72
https://hdl.handle.net/10900/47472
https://hdl.handle.net/10900/47472