Browsing byAuthorKang, B

Jump to a point in the index:
Showing results 1 to 16 of 16
Issue DateTitleAuthor(s)
2020Economic determinants of oil futures volatility: A term structure perspectiveKang, B; Nikitopoulos Sklibosios, C; Prokopczuk, M
2016-02-01The evaluation of multiple year gas sales agreement with regime switchingChiarella, C; Clewlow, L; Kang, B
2016-02-01The Return-Volatility Relation in Commodity Futures MarketsChiarella, C; Kang, B; Nikitopoulos, CS; Tô, TD
2014-04-01A comparative study on time-efficient methods to price compound options in the Heston modelChiarella, C; Griebsch, S; Kang, B
2014-01-01The numerical solution of the American option pricing problem: Finite difference and transform approachesChiarella, C; Kang, B; Meyer, GH
2014-01-01Computational Methods for Derivatives with Early Exercise FeaturesChiarella, C; Kang, B; Meyer, G; Ziogas, A
2013-11-01Humps in the volatility structure of the crude oil futures market: New evidenceChiarella, C; Kang, B; Nikitopoulos, CS; TÔ, TD
2013-09-01The evaluation of American compound option prices under stochastic volatility and stochastic interest ratesChiarella, C; Kang, B
2012-09-01The evaluation of barrier option prices under stochastic volatilityChiarella, C; Kang, B; Meyer, GH
2012-01The evaluation of gas swing contracts with regime switchingChiarella, C; Clewlow, L; Kang, B; Cummins, M; Murphy, F; Miller, JJH
2009-05-01The evaluation of american option prices under stochastic volatility and jump-diffusion dynamics using the method of linesChiarella, C; Kang, B; Meyer, GH; Ziogas, A
2006-01-01Two types of riskFilar, JA; Kang, B
2006-01Time consistent dynamic risk measuresKang, B; Filar, J
2006-01Membership Functions for Spatial ProximityBrennan, J; Martin, EA; Sattar, A; Kang, B
2004-01Stochastic Target Hitting Time and the Problem of Early RetirementKang, B; Filar, J; Lin, Y; Spanjers, L
2003-01Optimal Models with Maximizing the Probability of First Achieving Target Value in the Preceding StagesLin, Y; Wu, C; Kang, B