Canterbury Kent, CT2 7PE
University of Kent, Canterbury - Kent Business School
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Portfolio investment, political risk, insurance policy, geometric Brownian motion, Poisson arrival process.
volatility indexes, volatility derivatives, GARCH models, statistical arbitrage
real-estate markets, property derivatives, balance guaranteed swaps
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: eufm.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Constant Maturity Credit Default Swaps, Forward Credit Rates, Convexity Adjustment, Forward Rate Unbiasedness Hypothesis
American options, Optimal exercise price, Quasi-analytic method, Delta-Hedging performance
dividend derivatives, stochastic logistic diffusion, market price
Basket options, Shifted log-normal jump process, Hermite polynomials, Negative skewness, Option pricing and hedging
This is a Multinational Finance Journal paper. Multinational Finance Journal charges $10.99 .
File name: SSRN-id2627620.
geometric Brownian motion; insurance policy; Poisson arrival process; portfolio investment; political risk
File name: j-036X.
derivatives pricing, real estate indices, incomplete markets, market price of risk, serial correlation
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