52 citations · 256 across the 29 of their papers we have counts for
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q-fin.PR2015
Valuation of capital protection options
Xiaolin Luo, Pavel V. Shevchenko
This paper presents numerical algorithm and results for pricing a capital protection option offered by many asset managers for investment portfolios to take advantage of market gro…
q-fin.PR2010★ 3 cited
Holder-extendible European option: corrections and extensions
Pavel V. Shevchenko
Financial contracts with options that allow the holder to extend the contract maturity by paying an additional fixed amount found many applications in finance. Closed-form solution…
q-fin.PR2009★ 3 cited
Implied Correlation for Pricing multi-FX options
Pavel V. Shevchenko
Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usua…