Hans-Peter Bermin

Lund University, Department of Economics

P.O. Box 7082

S-220 07 Lund

Sweden

SCHOLARLY PAPERS

6

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CITATIONS
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12

Scholarly Papers (6)

1.

Local Volatility Changes in the Black-Scholes Model

Number of pages: 39 Posted: 29 Jul 2000
Hans-Peter Bermin and Arturo Kohatsu-Higa
Lund University, Department of Economics and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 575 (46,123)
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Contingent claims, hedging, local Vega index, Malliavin calculus, stochastic flows

Hints for an Extension of the Early Exercise Premium Formula for American Options

Number of pages: 7 Posted: 13 Dec 2004
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics
Downloads 115 (240,403)
Citation 1

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American put, Black-Scholes pricing, computational methods

Hints for an Extension of the Early Exercise Premium Formula for American Options

Physica A, Vol. 355, pp. 152-157, 2005
Posted: 12 Dec 2006
Hans-Peter Bermin, Arturo Kohatsu-Higa and Josep Perelló
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Department of Physics

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American put, Black-Scholes pricing, computational methods

3.

Welfare Effects of Controlling Labor Supply: An Application of the Stochastic Ramsey Model

Number of pages: 23 Posted: 17 Feb 2002
Henrik Amilon and Hans-Peter Bermin
Lund University, Department of Economics and Lund University, Department of Economics
Downloads 102 (260,295)

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4.

Hedging Options: The Malliavin Calculus Approach Versus the Hedging Approach

Mathematical Finance, Vol. 13, pp. 73-84, 2003
Number of pages: 12 Posted: 20 Mar 2003
Hans-Peter Bermin
Lund University, Department of Economics
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Contingent Claims, Hedging, Malliavin Calculus

5.

Local Vega Index and Variance Reduction Methods

Mathematical Finance, Vol. 13, pp. 85-97, 2003
Number of pages: 13 Posted: 20 Mar 2003
Hans-Peter Bermin, Arturo Kohatsu-Higa and Miquel Montero
Lund University, Department of Economics, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and University of Barcelona - Departament de Física de la Matèria Condensada
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Option Sensitivity, Volatility Structure

6.

A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

Mathematical Finance, Vol. 12, pp. 199-218, 2002
Number of pages: 20 Posted: 15 Nov 2002
Hans-Peter Bermin
Lund University, Department of Economics
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