"An Extension of the Black-Scholes and Margrabe Formulas to a Multiple Risk Economy"
written by Werner Hürlimann,
published by Applied Mathematics, Vol.2 No.4, 2011
has been cited by the following article(s):
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[1] Option Pricing with State-Price Deflators: The Multivariate Exponential Wang Normal Variance: Gamma Asset Pricing Models
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[2] Margrabejeva formula za valutne opcije: delo diplomskega seminarja
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[3] Normal variance-mean mixtures (III) Option pricing through stateprice deflators
2014
[4] NORMAL VARIANCE-MEAN MIXTURES (III) OPTION PRICING THROUGH STATE-PRICE DEFLATORS
W HüRLIMANN - scientificadvances.co.in, 2014
[5] Option pricing in the multidimensional Black-Scholes-Merton market with Gaussian Heath-Jarrow-Morton interest rates: the parsimonious and consistent Hull-White models of Vasicek and Nelson-Siegel type
Mathematical Finance Letters, 2014
[6] Option pricing in the multidimensional Black-Scholes market with Vasicek interest rates
Mathematical Finance Letters, 2013
[7] Margrabe formulas for a simple bivariate exponential variance-gamma price process (I) Theory
International Journal of Scientific and Innovative Mathematical Research, 2013
[8] The algebra of option pricing: theory and application
2012
[9] On Single and Multiple Currency Multifactor LIBOR Market Models: Application to Currency Options
2012
[10] The Algebra of Option Pricing: Theory and Application1
2012
[11] Market-consistent replication of insurance liabilities in a multiple risk economy
20th International AFIR Colloquium, June, 2011
[12] Analytical pricing of an insurance embedded option: alternative formulas and Gaussian approximation
Journal of Informatics and Mathematical Sciences, 2011
[13] Suboptimality of Asian Executive Options
2011