135 citations · 274 across the 14 of their papers we have counts for
14 papers
Converting the reset
J. K. Hoogland, C. D. D. Neumann, D. Bloch
We give a simple algorithm to incorporate the effects of resets in convertible bond prices, without having to add an extra factor to take into account the value of the reset. Furth…
Asians and cash dividends: Exploiting symmetries in pricing theory
Jiri Hoogland, Dimitri Neumann
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale…
Scaling invariance in finance II: Path-dependent contingent claims
Jiri Hoogland, Dimitri Neumann
This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of de…
Scale-invariance and contingent claim pricing
Jiri Hoogland, Dimitri Neumann
Prices of tradables can only be expressed relative to each other at any instant of time. This fundamental fact should therefore also hold for contigent claims, i.e. tradable instru…
Gaussian limits for discrepancies. I: Asymptotic results
Andre van Hameren, Ronald Kleiss, Jiri Hoogland
We consider the problem of finding, for a given quadratic measure of non-uniformity of a set of points (such as star-discrepancy or diaphony), the asymptotic distribution…
Light Fermion Mass Effects in e^+e^- -> 4 Fermions
Jiri Hoogland, Geert Jan van Oldenborgh
We investigated the effect of the light fermion masses on cross sections for e^+e^- into 4 fermions in the Fermion Loop scheme defined in hep-ph/9612260, and approximations to it.…