Details about Christian-Oliver Ewald

Access statistics for papers by Christian-Oliver Ewald.

Last updated 2009-11-08. Update your information in the RePEc Author Service.

Short-id: pew4

Working Papers

2009

1. Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
   CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm

2008

2. On the Qualitative Effect of Volatility and Duration on Prices of Asian Options
   CRIEFF Discussion Papers, Centre for Research into Industry, Enterprise, Finance and the Firm
   See also Journal Article in Finance Research Letters (2008)

2007

3. INFORMATION: PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL
   MPRA Paper, University Library of Munich, Germany
4. Malliavin differentiability of the Heston volatility and applications to option pricing
   MPRA Paper, University Library of Munich, Germany
5. OPTIMAL MANAGEMENT AND INFLATION PROTECTION FOR DEFINED CONTRIBUTION PENSION PLANS
   MPRA Paper, University Library of Munich, Germany
6. Stochastic Volatility: Risk Minimization and Model Risk
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2006

7. Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2005

8. A Note on the Malliavin differentiability of the Heston Volatility
   Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra

Journal Articles

2009

1. IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
   International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (02), 153-178

2008

2. A note on the Malliavin derivative operator under change of variable
   Statistics & Probability Letters, 2008, 78, (2), 173-178
3. On the qualitative effect of volatility and duration on prices of Asian options
   Finance Research Letters, 2008, 5, (3), 162-171 View citations
   See also Working Paper (2008)

2006

4. A new technique for calibrating stochastic volatility models: the Malliavin gradient method
   Quantitative Finance, 2006, 6, (2), 147-158 View citations

2005

5. OPTIMAL LOGARITHMIC UTILITY AND OPTIMAL PORTFOLIOS FOR AN INSIDER IN A STOCHASTIC VOLATILITY MARKET
   International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (03), 301-319 View citations